Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A High Breakdown and Efficient GM-Estimator in Linear Models

  • Song, Moon-Sup (Department of Statistics, Seoul National University) ;
  • Park, Changsoon (Department of Applied Statistics. Chung-Ang University) ;
  • Nam, Ho-Soo (Department of Industrial Engineering, Dongseo University)
  • Published : 1996.12.01
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Abstract

In this paper we propose an efficient scoring type one-step GM-estimator, which has a bounded influence function and a high break-down point. The main point of the estimator is in the weighting scheme of the GM-estimator. The weight function we used depends on both leverage points and residuals So we construct an estimator which does not downweight good leverage points Unider some regularity conditions, we compute the finite-sample breakdown point and prove asymptotic normality Some simulation results are also presented.

Keywords

References

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