The Breakdown Point of Simultaneous General M Estimates of Regression and Scale
Abstract This article deals with the breakdown point ϵ* of simultaneous general M estimates () of the regression parameter vector θ and scale parameter σ of a linear model. A general expression for ϵ* is derived and its numerical values are computed for the case in which the carriers have a normal distribution. The numerical results show that ϵ* is in general much lower than the minimum of the breakdown points of with σ known and of with θ known. The values of ∈* for some real and simulated data sets are also given.