HIGH BREAKDOWN POINT ROBUST REGRESSION WITH CENSORED DATA

MATÍAS SALIBIAN BARRERA; VÍCTOR J. YOHAI

ANNALS OF STATISTICS, THE

INST MATHEMATICAL STATISTICS

Lugar: Philadelphia, PA, USA; Año: 2008 vol. 36 p. 118 - 146

0090-5364

In this paper, we propose a class of high breakdown point estimators for the linear regression model when the response variable contains censored observations. These estimators are robust against high-leverage outliers and they generalize the LMS (least median of squares), S, MM and ô -estimators for linear regression. An important contribution of this paper is that we can define consistent estimators using a bounded loss function (or equivalently, a redescending score function). Since the calculation of these estimators can be computationally costly, we propose an efficient algorithm to compute them. We illustrate their use on an example and present simulation studies that show that these estimators also have good finite sample properties.