Číek, Pavel; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
Most dimension reduction methods based on nonparametric smoothing are highlysensitive to outliers and to data coming from heavy-tailed distributions. We showthat the recently proposed methods by Xia et al. (2002) can be made robust insuch a way that preserves all advantages of the original...