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Thread: robust regression estimators

  1. #1
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    south borneo
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    robust regression estimators

    Hi everyone.

    I have studied the robust regression a few weeks ago and I want to have a lot of insight about it. After reading some sources, I know some estimators on robust regression, i.e. M-estimators, MM-estimators, LTS-estimators, LMS-estimators, and s-estimators. However, every source I read just a little explanation about this. My question is "What distinguishes it from theory and application on the estimators?"
    What is the usefulness of robust regression in addition to detecting outliers ?


  2. #2
    Omega Contributor
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    hlsmith's Avatar
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    Re: robust regression estimators

    Well, I don't think it is so much the detection of outliers as the ability not to let outliers influence the results.

    I need to better learn about robust regression, I would appreciate it if you could list some of the better articles or websites links. Thanks.
    Stop cowardice, ban guns!

  3. #3
    Fortran must die
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    noetsi's Avatar
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    Re: robust regression estimators

    One thing to remember about robust regression is that it only works with interval DV.

    This is a SAS paper on robust regression http://www2.sas.com/proceedings/sugi27/p265-27.pdf

    This is a UCLA site that discusses robust regression for SAS http://www.ats.ucla.edu/stat/sas/dae/rreg.htm

    A discussion of the background http://web.as.uky.edu/statistics/use...notes/12-1.pdf

    A discussion of procrobustreg which is the sas product that deals with this http://www.phusewiki.org/docs/2006/ST01.pdf

    I stopped working on this when it became obvious most of my DV were categorical in nature.
    "Very few theories have been abandoned because they were found to be invalid on the basis of empirical evidence...." Spanos, 1995

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    hlsmith (01-30-2017)

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