A journey in single steps: robust one-step M-estimation in linear regression.
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Description
We present a unified treatment of different types of one-step M-estimation in regression models which incorporates the Newton-Raphson, method of scoring and iteratively reweighted least squares forms of one-step estimator. We use higher order expansions to distinguish between the different forms of estimator and the effects of different initial estimators. We show that the Newton-Raphson form has better properties than the method of scoring form which, in turn, has better properties than the...[Show more]
Collections | ANU Research Publications |
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Date published: | 2002 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/72715 |
Source: | Journal of Statistical Planning and Inference |
DOI: | 10.1016/S0378-3758(01)00228-2 |
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01_Welsh_A_journey_in_single_steps:_2002.pdf | 198.32 kB | Adobe PDF | Request a copy |
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