Efficiency of MM- and [tau]-estimates for finite sample size

Suppose that the relative efficiency of a regression estimate with respect to the least squares estimate is measured using a robust scale. Then, it is shown that in the case of normal errors and a finite sample size, it is possible to find MM- and [tau]-estimates which combine high efficiency and high breakdown-point.

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Year of publication:	1994
Authors:	Adrover, Jorge G. ; Bianco, Ana M. ; Yohai, Víctor J.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 19.1994, 5, p. 409-415
Publisher:	Elsevier
Keywords:	Robust regression high breakdown-point high efficiency finite sample size

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259003