M Estimation of Multivariate Regressions
نویسندگان
چکیده
منابع مشابه
M - Estimation of Multivariate Regressions
Robust alternatives to the seemingly unrelated regression (SUR) estimator of Zellner (1962) are proposed for the classical multivariate regression model. These weighted M-estimators achieve an asymptotic covariance matrix analogous to that of the SUR estimator. Comparisons are made with the efficient estimator in the case of elliptically contoured distributions. The / lt least absolute deviatio...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 1990
ISSN: 0162-1459
DOI: 10.2307/2289602