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Nonparametrics and Robustness in Modern Statistical Inference and Time Series Analysis: Festschrift for Jana Jureckova
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SYSNO ASEP 0365546 Document Type M - Monograph Chapter R&D Document Type Monograph Chapter Title Robust error-term-scale estimate Author(s) Víšek, Jan Ámos (UTIA-B) ORCID Number of authors 1 Source Title Nonparametrics and Robustness in Modern Statistical Inference and Time Series Analysis: Festschrift for Jana Jureckova. - USA : Institute of Mathematical Statistics (IMS), 2010 / Antoch Jaromir ; Huskova Marie ; Sen Pranab - ISSN 1939-4039 - ISBN 978-0-940600-80-5 Pages s. 254-267 Number of pages 14 s. Number of pages 267 Language eng - English Country US - United States Keywords Robustness ; Regression ; Disturbances ; Scale estimate Subject RIV BB - Applied Statistics, Operational Research CEZ AV0Z10750506 - UTIA-B (2005-2011) Annotation 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. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2012
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