Category: Robust regression

Two-step M-estimator
Two-step M-estimators deals with M-estimation problems that require preliminary estimation to obtain the parameter of interest. Two-step M-estimation is different from usual M-estimation problem becau
Repeated median regression
In robust statistics, repeated median regression, also known as the repeated median estimator, is a robust linear regression algorithm.The estimator has a breakdown point of 50%. Although it is equiva
In statistics, M-estimators are a broad class of extremum estimators for which the objective function is a sample average. Both non-linear least squares and maximum likelihood estimation are special c
Robust Regression and Outlier Detection
Robust Regression and Outlier Detection is a book on robust statistics, particularly focusing on the breakdown point of methods for robust regression. It was written by Peter Rousseeuw and Annick M. L
Least trimmed squares
Least trimmed squares (LTS), or least trimmed sum of squares, is a robust statistical method that fits a function to a set of data whilst not being unduly affected by the presence of outliers. It is o
Robust regression
In robust statistics, robust regression seeks to overcome some limitations of traditional regression analysis. A regression analysis models the relationship between one or more independent variables a
Theil–Sen estimator
In non-parametric statistics, the Theil–Sen estimator is a method for robustly fitting a line to sample points in the plane (simple linear regression) by choosing the median of the slopes of all lines
The goal of S-estimators is to have a simple high-breakdown regression estimator, which share the flexibility and nice asymptotic properties of M-estimators. The name "S-estimators" was chosen as they
Least absolute deviations
Least absolute deviations (LAD), also known as least absolute errors (LAE), least absolute residuals (LAR), or least absolute values (LAV), is a statistical optimality criterion and a statistical opti