Publication detail

Víšek, J. Á. : Robust error-term-scale estimate

Author(s): prof. RNDr. Jan Ámos Víšek CSc.,
Type: Chapter in book
Year: 2010
Number: 0
ISSN / ISBN: 978-0-9406000-80-5
Published in: IMS Collections, 254 - 267.
Publishing place: Institute of Mathematical Statistics
Keywords: Robustness, weighting the order statistics of squared residuals, consistency of the scale estimator.
JEL codes: C13, C19
Suggested Citation:
Grants: 402/09/0557 Robustifikace vybraných ekonometrických metod, hl. řešitel: Prof. RNDr. Jan Ámos Víšek CSc.
Abstract: A scale-equivariant and regression-invariant estimator of the variance
of error terms
in the linear regression model is proposed and its consistency proved. The estimator is based on (down)weighting the order
statistics of the squared residuals which corresponds to the consistent and scale- and regression-equivariant
estimator of the regression coefficients. A~small numerical study demonstrating
the
behaviour of the estimator under the various types of contamination is included.
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