Publication detail

Víšek, J. Á.: S-weighted estimators

Author(s): prof. RNDr. Jan Ámos Víšek CSc.,
Type: Article in collection
Year: 2015
Number: 0
Published in: Proceedings of the 16th Conference on the Applied Stochastic Models, Data Analysis and Demographics 2015, 1031 - 1042.
Publishing place: University of Piraeus, Greece
Keywords: Robust estimation of regression model, consistency of the S-weighted estimator under heteroscedasticity
JEL codes:
Suggested Citation:
Grants: GAČR 13-01930S Robust methods for nonstandard situations, their diagnostics and implementations
Abstract: An idea of implicit estimating the scale of disturbances, implicitly appearing in the least median of squares, the least trimmed squares, and the least weighted squares, found its explicit expression in the S-estimators. A similar idea of weighting order statistics of squared residuals, also implicitly employed in the least median of squares and the least trimmed squares, was in full generality used by the least weighted squares. A combination of these two idea yielded a new, flexible type of methods - the S-weighted estimators. Their properties, especially consistency is studied.




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