Detail publikace

Víšek, J. Á.: Representation of SW-estimators

Autor: prof. RNDr. Jan Ámos Víšek CSc.,
Typ: Články ve sborníku
Rok: 2016
Číslo: 0
Publikováno v: Proceedings 4th Stochastic Modeling Techniques and Data Analysis International Conferencewith Demographics Workshop, SMTDA 2016, 425 - 438.
Místo vydání: Valletta Malta
Klíčová slova: {Robustness, implicit weighting, the order statistics of the absolute values of residuals, the consistency of the SW-estimator under heteroscedasticity, asymptotic representation.
JEL kódy:
Granty: GAČR 13-01930S Robustní procedury pro nestandardní situace, jejich diagnostika a implementace
Abstrakt: The paper studies S-weighted estimator - a combination of S-estimator and the Least Weighted Squares. The estimator allows to adjust the properties, namely the level of robustness of estimator in question to the processed data better than the S-estimator or the Least Weighted Squares can do it. The paper offers the proof of its root-consistency and derives the asymptotic representation. Some pattern of results of the simulation study are also included, revealing the topology of data which shows that sometimes the outliers may be more dangerous than the leverage points.


McKinsey & Company
Moneta Money Bank