A Robust Seemingly Unrelated Regressions For Row-Wise And Cell-Wise Contamination
同时应对行污染与单元格污染的稳健似不相关回归
The Seemingly Unrelated Regressions (SUR) model is a wide used estimation procedure in econometrics, insurance and finance, where very often, the regression model contains more than one equation. Unknown parameters, regression coefficients and covariances among the errors terms, are estimated using algorithms based on Generalized Least Squares or Maximum Likelihood, and the method, as a whole, is very sensitive to outliers. To overcome this problem M-estimators and…