Počet záznamů: 1

Empirical distribution function under heteroscedasticity

  1. 1.
    0365534 - UTIA-B 2012 RIV US eng J - Článek v odborném periodiku
    Víšek, Jan Ámos
    Empirical distribution function under heteroscedasticity.
    Statistics. Roč. 45, č. 5 (2011), s. 497-508 ISSN 0233-1888
    Grant ostatní: GA UK(CZ) GA402/09/0557
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: Robustness * Convergence * Empirical distribution * Heteroscedasticity
    Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
    Impakt faktor: 0.724, rok: 2011
    http://library.utia.cas.cz/separaty/2011/SI/visek-0365534.pdf http://library.utia.cas.cz/separaty/2011/SI/visek-0365534.pdf

    Neglecting heteroscedasticity of error terms may imply a wrong identification of regression. Employment of (heteroscedasticity resistent) White’s estimator of covariance matrix of estimates of regression coefficients may lead to the correct decision about significance of individual explanatory variables under heteroscedasticity. However, White’s estimator of covariance matrix was established for LS-regression analysis (in the case when error terms are normally distributed, LS- and ML-analysis coincide and hence then White’s estimate of covariance matrix is available for ML-regression analysis, too). To establish White’s-type estimate for another estimator of regression coefficients requires Bahadur representation of the estimator in question, under heteroscedasticity of error terms. The derivation of Bahadur representation for other (robust) estimators requires some tools.
    Trvalý link: http://hdl.handle.net/11104/0200758