Ben, Marta García; Martínez, Elena; Yohai, Víctor J. - In: Journal of Multivariate Analysis 97 (2006) 7, pp. 1600-1622
We introduce a class of robust estimates for multivariate linear models. The regression coefficients and the covariance matrix of the errors are estimated simultaneously by minimizing the determinant of the covariance matrix estimate, subject to a constraint on a robust scale of the Mahalanobis...