Year: 1975
Type: report
Abstract: The estimator holding the cen-tral place in the theory of the multivariate "errors-in--the--variables" (EV) model results frcm performing orthogonal re'ess ion on variables rescaled according to the covariance matrix of the errors [7].Our first principal finding, via Monte Carlo on the univariate model, essentially relegates this estimator to use only in large samples on very well-behaved data, i.e., with no trace of outlier contamination.A modification, requiring a robust preliminary slope, is proposed that essentially sets out the generalization to EV of the w-estimator in regression.It is d-nonstrated that the modification is robust to outlier contamination even in small samples, given a sufficiently good preliminary estimator.A candidate for a preliminary slope estimator based on the data is proposed arid its performance under simulation examined.Least-absolute residuals estimation in EV is cited as an alternative candidate.
DOI: 10.3386/w0083
Author: Michael Brown
Institution: Tufts University
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2088999374