COMPARISON OF SCALE-INVARIANT M-ESTIMATORS IN REGRESSION MODELS

Fátima B. DRUMOND[1]

Julio da Mota SINGER[2]

§    ABSTRACT: We consider a limited simulation study to compare three types of scale-invariant M- estimators of regression parameters under different underlying distributions and examine their performance in a practical example ( the well know "stack loss" data). Although the alternatives have comparable performance in most cases, the estimator based on a fixed preliminary estimate of scale and on Tukey's biweight score function was systematically superior , especially under heavy departures from normality.

§    KEYWORDS: M-estimators; robust regression; scale-invariance.

 

 

 



[1] Departamento de Estatística - Universidade Federal de Minas gerais - UFMG - 31270-901 - Belo Horizonte - MG - Brasil.

[2] Departamento de Estatística - Universidade de São Paulo - USP - 05389-970 - São Paulo - Brasil.