Transformations in Regression: A Robust Analysis

Abstract

We consider two approaches to robust estimation for the Box–Cox power-transformation model. One approach maximizes weighted, modified likelihoods. A second approach bounds a measure of gross-error sensitivity. Among our primary concerns is the performance of these estimators on actual data. In examples that we study, there seem to be only minor differences between these two robust estimators, but they behave rather differently than the maximum likelihood estimator or estimators that bound only the influence of the residuals. These examples show that model selection, determination of the transformation parameter, and outlier identification are fundamentally interconnected.