Consistency of the least weighted squares under heteroscedasticity

0365721 - ÚTIA 2012 RIV CZ eng J - Journal Article
Víšek, Jan Ámos
Consistency of the least weighted squares under heteroscedasticity.
Kybernetika. Roč. 2011, č. 47 (2011), s. 179-206. ISSN 0023-5954
Grant - others:GA UK(CZ) GA402/09/055
Institutional research plan: CEZ:AV0Z10750506
Keywords : Regression * Consistency * The least weighted squares * Heteroscedasticity
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.454, year: 2011
http://library.utia.cas.cz/separaty/2011/SI/visek-consistency of the least weighted squares under heteroscedasticity.pdf

A robust version of the Ordinary Least Squares accommodating the idea of weighting the order statistics of the squared residuals (rather than directly the squares of residuals) is recalled and its properties are studied. The existence of solution of the corresponding extremal problem and the consistency under heteroscedasticity is proved.
Permanent Link: http://hdl.handle.net/11104/0200895