M - Estimation of Multivariate Regressions
نویسندگان
چکیده
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 deviation, case is discussed in detail, and some remarks on estimation of the weighting matrices are offered. In contrast to recent work of Ham pel, et al (1986), Rousseeuw(1987) and Oja(1983), the methods studied below are not affine equivariant; some remarks on the potential significance of this failing conclude the paper.
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تاریخ انتشار 2011