A Bounded Influence, High Breakdown, Efficient Regression Estimator

We consider the multiple linear regression model y i = x′ i β + ε i , i = 1, 2, …, n, with random carriers and focus on the estimation of β. This article's main contribution is to present an estimator that is affine, regression, and scale equivariant; has both a high breakdown point and a bounded influence function; and has an asymptotic efficiency greater than .95 versus least squares under Gaussian errors. We give conditions under which the...