手法を比較
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| MM推定によるロバスト回帰× | 分位点回帰× | |
|---|---|---|
| 分野≠ | 統計学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1987 | 1978 |
| 提唱者≠ | Victor J. Yohai | Koenker & Bassett |
| 種類≠ | Robust linear regression | Conditional quantile regression |
| 原典≠ | Yohai, V. J. (1987). High Breakdown-Point and High Efficiency Robust Estimates for Regression. Annals of Statistics, 15(2), 642-656. DOI ↗ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ |
| 別名≠ | MM-estimation, MM robust regression, high-breakdown high-efficiency estimator, MM-Tahmin Edici | conditional quantile regression, regression quantiles, Kantil Regresyon |
| 関連 | 5 | 5 |
| 概要≠ | The MM-estimator is a robust linear regression method introduced by Victor J. Yohai in 1987. It combines the high breakdown point of an S-estimator with the high efficiency of an M-estimator, so it resists outliers strongly while still using the data efficiently when errors are well-behaved. | Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails. |
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