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328836
2011 Apr 04
0
AIC for robust regression
I am interested in comparing the fit of robust (i.e., S and MM) and
non-robust (i.e., OLS) estimators when applied to a particular data set.
The paper entitled "A comparison of robust versions of the AIC based on M, S
and MM-estimators" (available at:
http://ideas.repec.org/p/ner/leuven/urnhdl123456789-274771.html) presents
formulas for robust Akaike information criteria (AIC) for the M,