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R-estimatorsStatistical Analysis Techniques, Robust Estimators, Alternatives to OLS The three main classes of robust estimators are M, L and R. Robust estimators are resistant to outliers and when used in regression modelling, are robust to departures from the normality assumption. The ranks are used to calculate weights. For example: When generating an R vector, ties need to be taken into account. A tie is when two values getting ranked are equal. For the weights to work, must equal Jaeckel’s estimator
He found that D is non-negative and beta is asymptotically normal with mean β. See
also:
Regression
L-estimators |
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