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A journey in single steps: robust one-step M-estimation in linear regression.

Welsh, Alan; Ronchetti, E.


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]

CollectionsANU Research Publications
Date published: 2002
Type: Journal article
Source: Journal of Statistical Planning and Inference
DOI: 10.1016/S0378-3758(01)00228-2


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