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.
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页码：315 / 334
页数：20
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