M-estimators for Isotonic Regression
In this paper we propose a family of robust estimates for isotonic regression: isotonic M-estimators. We show that their asymptotic distribution is, up to an scalar factor, the same as that of Brunk’s classical isotonic estimator. We also derive the influence function and the breakdown point of thes...
| Autores: | , |
|---|---|
| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2012 |
| País: | Argentina |
| Institución: | Consejo Nacional de Investigaciones Científicas y Técnicas |
| Repositorio: | CONICET Digital (CONICET) |
| Idioma: | inglés |
| OAI Identifier: | oai:ri.conicet.gov.ar:11336/198372 |
| Acceso en línea: | http://hdl.handle.net/11336/198372 |
| Access Level: | acceso abierto |
| Palabra clave: | ISOTONIC REGRESSION M-ESTIMATORS ROBUST ESTIMATES https://purl.org/becyt/ford/1.1 https://purl.org/becyt/ford/1 |
| Sumario: | In this paper we propose a family of robust estimates for isotonic regression: isotonic M-estimators. We show that their asymptotic distribution is, up to an scalar factor, the same as that of Brunk’s classical isotonic estimator. We also derive the influence function and the breakdown point of these estimates. Finally we perform a Monte Carlo study that shows that the proposed family includes estimators that are simultaneously highly efficient under Gaussian errors and highly robust when the error distribution has heavy tails. |
|---|