Nonparametrics and Robustness in Modern Statistical Inference and Time Series Analysis: Festschrift for Jana Jureckova

0365546 - ÚTIA 2012 RIV US eng M - Monography Chapter
Víšek, Jan Ámos
Robust error-term-scale estimate.
Nonparametrics and Robustness in Modern Statistical Inference and Time Series Analysis: Festschrift for Jana Jureckova. USA: Institute of Mathematical Statistics (IMS), 2010 - (Antoch, J.; Huskova, M.; Sen, P.), s. 254-267. Books IMS, IMS Collections, IMS Collections vol 7(2010). ISBN 978-0-940600-80-5
Grant - others:GA UK(CZ) GA402/09/0557
Institutional research plan: CEZ:AV0Z10750506
Keywords : Robustness * Regression * Disturbances * Scale estimate
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2011/SI/visek-robust error-term-scale estimate.pdf

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.
Permanent Link: http://hdl.handle.net/11104/0200767