| Autor: |
prof. RNDr. Jan Ámos Víšek CSc.,
|
| Typ: |
Články ve sborníku |
| Rok: |
2015 |
| Číslo: |
0 |
| ISSN / ISBN: |
- |
| Publikováno v: |
Proceedings of the 16th Conference on the Applied Stochastic Models, Data Analysis and Demographics 2015, 1031 - 1042. |
| Místo vydání: |
University of Piraeus, Greece |
| Klíčová slova: |
Robust estimation of regression model, consistency of the
S-weighted estimator under heteroscedasticity |
| JEL kódy: |
|
| Citace: |
|
| Granty: |
GAČR 13-01930S Robustní procedury pro nestandardní situace, jejich diagnostika a implementace
|
| Abstrakt: |
An idea of implicit estimating the scale of disturbances, implicitly appearing in the least median of squares, the least trimmed squares, and the least weighted squares, found its explicit expression in the S-estimators. A similar idea of weighting order statistics of squared residuals, also implicitly employed in the least median of squares and the least trimmed squares, was in full generality used by the least weighted squares. A combination of these two idea yielded a new, flexible type of methods - the S-weighted estimators. Their properties, especially consistency is studied. |
