Estimates of regression coefficients based on the sign covariance matrix

A new estimator of the regression parameters is introduced in a multivariate multiple-regression model in which both the vector of explanatory variables and the vector of response variables are assumed to be random. The affine equivariant estimate matrix is constructed using the sign covariance matr...

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Veröffentlicht in:	Journal of the Royal Statistical Society. Series B, Statistical methodology Statistical methodology, 2002-01, Vol.64 (3), p.447-466
Hauptverfasser:	Ollila, Esa, Oja, Hannu, Hettmansperger, Thomas P.
Format:	Artikel
Sprache:	eng
Schlagworte:	Affine equivariance Consistent estimators Covariance matrices Efficiency Estimation methods Estimators Exact sciences and technology Influence function Linear inference, regression Linear regression Mathematical models Mathematical vectors Mathematics Matrices Multivariate median Multivariate multiple regression Multivariate sign Parametric inference Probability and statistics Regression analysis Regression coefficients Sciences and techniques of general use Signs Standard error Statistical methods Statistics Variance estimation
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