Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 67, No. 1 (2005), pp. 63-78 (16 pages) The literature on multivariate linear regression includes multivariate normal ...
Robust alternatives to the seemingly unrelated regression (SUR) estimator of Zellner (1962) are proposed for the classical multivariate regression model. These weighted M estimators achieve an ...
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