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Consistency of the least weighted squares under heteroscedasticity
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SYSNO ASEP 0365721 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Consistency of the least weighted squares under heteroscedasticity Author(s) Víšek, Jan Ámos (UTIA-B) ORCID Number of authors 1 Source Title Kybernetika. - : Ústav teorie informace a automatizace AV ČR, v. v. i. - ISSN 0023-5954
Roč. 2011, č. 47 (2011), s. 179-206Number of pages 28 s. Language eng - English Country CZ - Czech Republic Keywords Regression ; Consistency ; The least weighted squares ; Heteroscedasticity Subject RIV BB - Applied Statistics, Operational Research CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000290980900002 Annotation 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. 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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