Theil-Sen Estimators in a Multiple Linear Regression Model.pdfVIP

Theil-Sen Estimators in a Multiple Linear Regression Model 1 1 2 2 Xin Dang , Hanxiang Peng , Xueqin Wang and Heping Zhang 1 University of Mississippi and 2 Yale University Abstract: In this article, we propose the Theil-Sen estimators of parameters in a multiple linear regression model based on a multivariate median, generalizing the Theil-Sen estimator in a simple linear regression model. The proposed estimator is shown to be robust, consistent and asymptotically normal under mild condi- tions, and super-efficient when the error distribution is discontinuous. It can be chosen to satisfy the prespecified possible robustness and efficiency. Simulations are conducted to compare robustness and efficiency with least squares estimators and to validate super-efficiency. Additionally we obtain a sufficient and necessary condition which characterizes the symmetry of a random vector. Key words and phrases: breakdown point, depth function, efficiency, multiple linear regression model, spatial median. 1. Introduction In a simple linear model, Theil(1950) proposed the median of pairwise slopes as an estimator of the slope parameter. Sen (1968) extended this estimator to handle ties. The Theil-Sen estimator (TSE) is robust with a high breakdown point 29.3%, has a bounded influence function, and possesses a high asymptotic efficiency. Thus it is very competitive to other slope estimators (e.g., the least squares estimators), see Sen (1968), Dietz (1989)) and Wilcox (1998). The TSE has been acknowledged in several popular textbooks on nonparametric and robust statistics, e.g., Sprent (1993), Hollander and Wolfe (1973, 1999), and Rousseeuw and Leroy (1986). It has important applications, for example, in astronomy by Akritas et al (1995) in censored data, in remo