Cizek, Pavel; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
Most dimension reduction methods based on nonparametric smoothing are highly sensitive to outliers and to data coming from heavy-tailed distributions. We show that the recently proposed methods by Xia et al. (2002) can be made robust in such a way that preserves all advantages of the original...