Multiple linear regression with some correlated errors: classical and robust methods

In this paper we consider classical and robust methods of estimation and diagnostics for the multiple linear regression model when some of the errors are correlated. This work was motivated by the analysis of a medical data set, from an observational study aimed at identifying factors affecting the outcome of a surgical method for the correction of scoliosis (abnormal lateral spinal curvature). There are 392 observations but some of them are on the same patient (double curves). It seems adequate to consider a multiple linear regression model but, since it is not desirable to discard the double curves, the assumption of non-correlated errors is clearly violated, and this is indeed confirmed by related diagnostics on the residuals (Durbin-Watson test). A more appropriate model retains the linear structure but allows for non-null correlation between the errors on the same patient. We propose two different procedures for the estimation of the parameters of the linear model and the correlation parameters: maximum likelihood assuming normal errors and a robustified version obtained by plugging-in results from robust linear regression. The latter procedure is designed to be resistant to outlying observations or error distributions with heavy tails and has produced the most satisfactory results for the analysed data set.