Efficient Robust Estimation of Regression Models (Revision of DP 2006-08)

This paper introduces a new class of robust regression estimators. The proposed twostep least weighted squares (2S-LWS) estimator employs data-adaptive weights determined from the empirical distribution, quantile, or density functions of regression residuals obtained from an initial robust fit. Just like many existing two-step robust methods, the proposed 2S-LWS estimator preserves robust properti…