The ROBUSTREG Procedure

This section describes the statistical and computational aspects of the ROBUSTREG procedure. The following notation is used throughout the section.

Let denote an matrix, let denote a given n-vector of responses, and let denote an unknown p-vector of parameters or coefficients whose components are to be estimated. The matrix is called the design matrix. Consider the usual linear model,

where is an n-vector of unknown errors. It is assumed that (for a given ) the components of are independent and identically distributed according to a distribution , where is a scale parameter (usually unknown). Often , the standard normal distribution function. The vector of residuals for a given value of is denoted by , and the ith row of the matrix is denoted by .