An S-estimator of regression is obtained by minimizing an M-estimator of scale applied to the residuals ri. On the other hand, a generalized S-estimator (or GS-estimator) minimizes an M-estimator of scale based on all pairwise differences ri - rj. Generalized S-estimators have similar robustness...

In this paper we introduce generalized S-estimators for the multivariate regression model. This class of estimators combines high robustness and high efficiency. They are defined by minimizing the determinant of a robust estimator of the scatter matrix of differences of residuals. In the special...