On the computation of R-estimators

Mukherjee, Kanchan and Wang, Yuankun (2014) On the computation of R-estimators. In: Contemporary developments in statistical theory : a festschrift for Hira Lal Koul. Springer Proceedings in Mathematics & Statistics . Springer, Switzerland, pp. 279-288. ISBN 9783319026503

Abstract

In this paper, we propose a simple iterative algorithm for computing R-estimates of the parameters of the linear regression models. The algorithm can be applied routinely to compute R-estimates based on any score function. We apply this to some well-known datasets and can identify outliers which would not have been detected using least squares.