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W-추정량 로버스트 회귀 (Welsch / Tukey Bisquare)×MM-추정량을 이용한 강건 회귀분석×최소제곱법(OLS) 회귀×
분야통계학통계학계량경제학
계열Regression modelRegression modelRegression model
기원 연도197419872019
창시자Beaton & Tukey (bisquare weight); Welsch (Welsch weight)Victor J. YohaiWooldridge (textbook treatment); classical least squares
유형Robust regression (redescending M-estimator)Robust linear regressionLinear regression
원전Beaton, A. E. & Tukey, J. W. (1974). The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data. Technometrics, 16(2), 147-185. DOI ↗Yohai, V. J. (1987). High Breakdown-Point and High Efficiency Robust Estimates for Regression. Annals of Statistics, 15(2), 642-656. DOI ↗Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860
별칭Tukey bisquare M-estimator, Welsch M-estimator, redescending M-estimator, W-Tahmin Edici (Welsch / Tukey Bisquare)MM-estimation, MM robust regression, high-breakdown high-efficiency estimator, MM-Tahmin Ediciordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu
관련455
요약The W-estimator is a family of robust M-estimator variants for linear regression that use the Tukey bisquare and Welsch weight functions, introduced in the line of work going back to Beaton and Tukey (1974). Because its weights fall rapidly toward zero as a residual grows, it resists outliers more strongly than the Huber M-estimator.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.Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE).
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