Estimators for the linear regression model based on Winsorized observations
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Chen, L-A
Welsh, Alan
Chan, W
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Academia Sinica
Abstract
We develop an asymptotic, robust version of the Gauss-Markov theorem for estimating the regression parameter vector β and a parametric function c′ β in the linear regression model. In a class of estimators for estimating β that are linear in a Winsor
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Statistica Sinica