Detail publikace

Víšek, J. Á. : Diagnostics of robust identification of model

Autor: prof. RNDr. Jan Ámos Víšek CSc.,
Typ: Články v impaktovaných časopisech
Rok: 2014
Číslo: 0
ISSN / ISBN: 0972-3617
Publikováno v: Advances and Applications in Statistics 43, 119 - 161.
Místo vydání: 211 002, INDIA
Klíčová slova: Significance of explanatory variable, robustness, the least weighted squares
JEL kódy: University of Allahabad, 62J05, 62J
Citace:
Abstrakt: The possibility to assess the significance of individual explanatory variable in the regression model belongs among the basic diagnostic tools of data analysis. The paper studies the problem for the {\it least weighted squares} - a generalization of the {\it (ordinary) least squares} as well as of the {\it least median of squares} or the {\it least trimmed squares}. The paper at first shows how to cope theoretically with the problem and then by the numerical simulations demonstrates that the corresponding quantiles converge with the increasing sample size to a limit value, which is nearly identical with the Student's quantiles for the respective sample sizes

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