In this paper we maximize the efficiency of a multivariate S-estimator under a constraint on the breakdown point. In the linear regression model, it is known that the highest possible efficiency of a maximum breakdown S-estimator is bounded above by 33% for Gaussian errors. We prove the...

This paper proposes a simple maximum likelihood regression estimator that outperforms Least Squares in terms of efficiency and mean square error for a large number of skewed and/or heavy tailed error distributions

This paper proposes a simple maximum likelihood regression estimator that outperforms Least Squares in terms of efficiency and mean square error for a large number of skewed and/or heavy tailed error distributions.