Title

Adaptive Robust Regression By Using A Nonlinear Regression Program

Keywords

EM algorithm; GEM algorithm; Iterative reweighting; Linear regression; Normal/independent family; SAS NLIN; Slash family, S-plus; t distribution

Abstract

Robust regression procedures have received considerable attention in mathematical statistics literature. They, however, have not received nearly as much attention by practitioners performing data analysis. A contributing factor to this may be the lack of availability of these procedures in commonly used statistical software. In this paper we propose algorithms for obtaining parameter estimates and their asymptotic standard errors when fitting regression models to data assuming normal/independent errors. The algorithms proposed can be implemented in the commonly available nonlinear regression programs. We review a number of previously proposed algorithms. As we discuss, these require special code and are difficult to implement in a non-linear regression program. Methods of implementing the proposed algorithms in SAS-NLIN is discussed. Specifically, the two applications of regression with the t and the slash family errors are discussed in detail. SAS NLIN and S-plus instructions are given for these two examples. Minor modification of these instructions can solve other problems at hand.

Publication Date

1-1-1999

Publication Title

Journal of Statistical Software

Volume

4

Number of Pages

1-25

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.18637/jss.v004.i06

Socpus ID

4544335851 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/4544335851

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