Počet záznamů: 1

Robust error-term-scale estimate

  1. 1.
    0365546 - UTIA-B 2012 RIV US eng M - Část monografie knihy
    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 ostatní: GA UK(CZ) GA402/09/0557
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: Robustness * Regression * Disturbances * Scale estimate
    Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
    http://library.utia.cas.cz/separaty/2011/SI/visek-robust error-term-scale estimate.pdf 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.
    Trvalý link: http://hdl.handle.net/11104/0200767