High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient Scale

Abstract

Abstract A new class of robust estimates, τ estimates, is introduced. The estimates have simultaneously the following properties: (a) they are qualitatively robust, (b) their breakdown point is .5, and (c) they are highly efficient for regression models with normal errors. They are defined by minimizing a new scale estimate, τ, applied to the residuals. Asymptotically, a τ estimate is equivalent to an M estimate with a ψ function given by a weighted average of two ψ functions, one corresponding to a very robust estimate and the other to a highly efficient estimate. The weights are adaptive and depend on the underlying error distribution. We prove consistency and asymptotic normality and give a convergent iterative computing algorithm. Finally, we compare the biases produced by gross error contamination in the τ estimates and optimal bounded-influence estimates.