论文信息 - Estimators of the multiple correlation coefficient: Local robustness and confidence intervals

Estimators of the multiple correlation coefficient: Local robustness and confidence intervals

Many robust regression estimators are defined by minimizing a measure of spread of the residuals. An accompanying R2-measure, or multiple correlation coefficient, is then easily obtained. In this paper, local robustness properties of these robust R2-coefficients are investigated. It is also shown how confidence intervals for the population multiple correlation coefficient can be constructed in the case of multivariate normality.

Catherine Dehon | Christophe Croux | C. Dehon | Cristophe Croux

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