Lopuhaä, Henrik Paul, Garès, Valérie and Ruiz-Gazen, Anne (2022) S-estimation in linear models with structured covariance matrices. TSE Working Paper, n. 22-1343, Toulouse

Warning
There is a more recent version of this item available.
[thumbnail of wp_tse_1343.pdf]
Preview
Text
Download (1MB) | Preview

Abstract

We provide a unified approach to S-estimation in balanced linear models with structured covariance matrices. Of main interest are S-estimators for linear mixed effects models, but our approach also includes S-estimators in several other standard multivariate models, such as multiple regression, multivariate regression, and multivariate location and scatter. We provide sufficient conditions for the existence of S-functionals and S-estimators, establish asymptotic properties such as consistency and asymptotic normality, and derive their robustness prop-erties in terms of breakdown point and influence function. All the results are obtained for general identifiable covariance structures and are established under mild conditions on the distribution of the observations, which goes far beyond models with elliptically contoured densities. Some of our results are new and others are more general than existing ones in the literature. In this way this manuscript completes and improves results on S-estimation in a wide variety of multivariate models. We illustrate our results by means of a simulation study and an application to data from a trial on the treatment of lead-exposed children.

Item Type: Monograph (Working Paper)
Language: English
Date: June 2022
Place of Publication: Toulouse
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse Capitole
Site: UT1
Date Deposited: 23 Jun 2022 13:32
Last Modified: 05 Jan 2024 09:56
OAI Identifier: oai:tse-fr.eu:127042
URI: https://publications.ut-capitole.fr/id/eprint/45788

Available Versions of this Item

View Item

Downloads

Downloads per month over past year