Estimators of the multiple correlation coefficient: local robustness and confidence intervals

被引：17

作者：

Croux, C

Dehon, C

机构：

[1] ECARES, Fac SOCO, B-1050 Brussels, Belgium

[2] Free Univ Brussels, Inst Stat, B-1050 Brussels, Belgium

来源：

STATISTICAL PAPERS | 2003年 / 44卷 / 03期

关键词：

influence function; multiple correlation coefficient; regression analysis; R-2-measure; robustness;

D O I：

10.1007/s00362-003-0158-7

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Many robust regression estimators are defined by minimizing a measure of spread of the residuals. An accompanying R-2-measure, or multiple correlation coefficient, is then easily obtained. In this paper, local robustness properties of these robust R-2-coefficients axe investigated. It is also shown how confidence intervals for the population multiple correlation coefficient can be constructed in the case of multivariate normality.

引用

页码：315 / 334

页数：20

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