A Monte Carlo Study of Two Robust Alternatives of Least Square Regression Estimation / Richard W. Hill, Paul W. Holland.

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Hill, Richard W

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Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w0058.Publication details: Cambridge, Mass. National Bureau of Economic Research 1974.Description: 1 online resource: illustrations (black and white)Online resources:

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Abstract: We give some Monte Carlo results on the performance of two robust alternatives to least squares regression estimation - least absolute residuals and the one-step "sine" estimator. We show how to scale the residuals for the sine estimator to achieve constant efficiency at the Gaussian across various choices of X-matrix and give some results for the contaminated Gaussian distribution.

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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w0058 (Browse shelf(Opens below))	Not For Loan

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September 1974.

We give some Monte Carlo results on the performance of two robust alternatives to least squares regression estimation - least absolute residuals and the one-step "sine" estimator. We show how to scale the residuals for the sine estimator to achieve constant efficiency at the Gaussian across various choices of X-matrix and give some results for the contaminated Gaussian distribution.