On the weighted multivariate Wilcoxon rank regression estimate

Weihua Zhou, Jin Wang

Research output: Contribution to journalArticle

Abstract

Zhou (2010) introduced a multivariate Wilcoxon regression estimate which possesses some nice properties: computational ease, asymptotic normality and high efficiency. However, it is sensitive to the leverage points. To circumvent this problem, we propose a weighted multivariate Wilcoxon regression estimate. Under some regularity conditions, the asymptotic normality is established. We further study the robustness of the proposed estimate through the influence function. By properly choosing the weight functions, our results show that the corresponding estimate can have bounded influence function on both response and covariates.

Original languageEnglish (US)
Pages (from-to)704-713
Number of pages10
JournalStatistics and Probability Letters
Volume81
Issue number6
DOIs
StatePublished - Jun 1 2011

Keywords

  • Influence function
  • Multivariate regression
  • Primary
  • Rank estimate
  • Secondary
  • Wilcoxon

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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