Asymptotics of generalized S-estimators
Journal of Multivariate Analysis
Computing LTS Regression for Large Data Sets
Data Mining and Knowledge Discovery
Robust estimation for the multivariate linear model based on a τ-scale
Journal of Multivariate Analysis
The multivariate least-trimmed squares estimator
Journal of Multivariate Analysis
Fast robust estimation of prediction error based on resampling
Computational Statistics & Data Analysis
Estimates of MM type for the multivariate linear model
Journal of Multivariate Analysis
Joint diagonalization of several scatter matrices for ICA
LVA/ICA'12 Proceedings of the 10th international conference on Latent Variable Analysis and Signal Separation
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In this paper we introduce generalized S-estimators for the multivariate regression model. This class of estimators combines high robustness and high efficiency. They are defined by minimizing the determinant of a robust estimator of the scatter matrix of differences of residuals. In the special case of a multivariate location model, the generalized S-estimator has the important independence property, and can be used for high breakdown estimation in independent component analysis. Robustness properties of the estimators are investigated by deriving their breakdown point and the influence function. We also study the efficiency of the estimators, both asymptotically and at finite samples. To obtain inference for the regression parameters, we discuss the fast and robust bootstrap for multivariate generalized S-estimators. The method is illustrated on a real data example.