M-ESTIMATORS IN BUSINESS STATISTICS

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Statistics in Transition New Series

Polish Statistical Association

Central Statistical Office of Poland

Subject: Economics, Statistics & Probability

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ISSN: 1234-7655
eISSN: 2450-0291

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VOLUME 17 , ISSUE 4 (December 2016) > List of articles

M-ESTIMATORS IN BUSINESS STATISTICS

Grażyna Dehnel *

Keywords : robust regression, M-estimation, business statistics, outliers

Citation Information : Statistics in Transition New Series. Volume 17, Issue 4, Pages 749-762, DOI: https://doi.org/10.21307/stattrans-2016-050

License : (CC BY 4.0)

Published Online: 07-July-2017

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ABSTRACT

Recent years have seen a dynamic development in statistical methods for analysing data contaminated with outliers. One of the more important techniques that can deal with outlying observations is robust regression, which represents four decades of research. Until recently the implementation of robust regression methods, such as M-estimation or MM-estimation, was limited owing to their iterative nature. With advances in computing power and the growing availability of statistical packages, such as R and SAS, Stata, the applicability of robust regression methods has increased considerably.The aim of the study is to evaluate one of these methods, namely M-estimation, using data from a survey of small and medium-sized businesses. The comparison involves nine M-estimators, each based on a different weighting function. The results and conclusions are formulated on the basis of empirical data from the DG-1 business survey.

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