Measures of the Sensitivity of Regression Estimates to the Choice of Estimator

Thomas A. Severini

doi:10.1080/01621459.1996.10476734

Measures of the Sensitivity of Regression Estimates to the Choice of Estimator

Thomas A. Severini^*

^*Corresponding author for this work

Statistics and Data Science

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

Let Y₁, …, Y_n denote independent real-valued observations, each of the form Y_j = X_jβ + σε_j, where X_j is a fixed covariate vector, β and σ are unknown parameters ε₁, …, ε_n are identically distributed according to a symmetric density p. This article considers the sensitivity of point estimates of β to the choice of estimator from classes of estimators based on the L estimators of Kroenker and Portnoy. Specific measures of sensitivity are proposed these measures are applied to several datasets.

Original language	English (US)
Pages (from-to)	1651-1658
Number of pages	8
Journal	Journal of the American Statistical Association
Volume	91
Issue number	436
DOIs	https://doi.org/10.1080/01621459.1996.10476734
State	Published - Dec 1 1996

Keywords

Conditional inference
Regression models
Regression quantiles
Robust estimation

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1080/01621459.1996.10476734

Cite this

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AB - Let Y1, …, Yn denote independent real-valued observations, each of the form Yj = Xjβ + σεj, where Xj is a fixed covariate vector, β and σ are unknown parameters ε1, …, εn are identically distributed according to a symmetric density p. This article considers the sensitivity of point estimates of β to the choice of estimator from classes of estimators based on the L estimators of Kroenker and Portnoy. Specific measures of sensitivity are proposed these measures are applied to several datasets.

KW - Conditional inference

KW - Regression models

KW - Regression quantiles

KW - Robust estimation

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JF - Journal of the American Statistical Association

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ER -

Measures of the Sensitivity of Regression Estimates to the Choice of Estimator

Abstract

Keywords

ASJC Scopus subject areas

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