Mallow's Type Bounded Influence Regression Quantile for Linear Regression Model and Simultaneous Equations Model

Lin-Ann Chen; Peter Thompson; HUNG-CHANG  CHUANG

Mallow's Type Bounded Influence Regression Quantile for Linear Regression Model and Simultaneous Equations Model

Lin-Ann Chen, Peter Thompson, HUNG-CHANG CHUANG

統計學研究所

研究成果: Article › 同行評審

摘要

We present asymptotic distributions of the Mallow0
s type bounded-influence
regression quantile for the linear regression model and also the simultaneous equations model.
Monte Carlo simulation comparing mean squared errors shows that the bounded-influence one is
more efficient than the unbounded-influence one (Koenker and Bassett (1978)) when gross errors
occur in the independent-variables-space. Analysis of examples involving real data have also been
provided.

原文	English
頁（從 - 到）	217–232
頁數	16
期刊	Sankhya: The Indian Journal of Statistics
卷	62
發行號	2
出版狀態	Published - 8月 2000

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abstract = "We present asymptotic distributions of the Mallow0s type bounded-influenceregression quantile for the linear regression model and also the simultaneous equations model.Monte Carlo simulation comparing mean squared errors shows that the bounded-influence one ismore efficient than the unbounded-influence one (Koenker and Bassett (1978)) when gross errorsoccur in the independent-variables-space. Analysis of examples involving real data have also beenprovided.",

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Mallow's Type Bounded Influence Regression Quantile for Linear Regression Model and Simultaneous Equations Model

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