Visek, J. A. : Coping with level and character of contamination by SW-estimators.
|Author(s):|| prof. RNDr. Jan Ámos Víšek CSc., |
|Type:||Article in collection|
|ISSN / ISBN:||978-90-73592-36-0|
|Published in:||Proceedings of COMPSTAT 2016, 22nd Conference on Computational Statistics, 59 - 72.|
|Publishing place:||Sevilla, Spain|
|Keywords:||Robust regression, S-estimator, the least weighted squares, SW-estimator,consistency, asymptotic representation, simulation results|
|Grants:||DYME – Dynamic Models in Economics|
|Abstract:||A new estimator inheriting (hopefully) pros and removing cons of the S-estimator
and the least weighted squares is proposed. It allows for both, a weight function w as well as for an
objective function which need not be bounded. The conditions for consistency and asymptotic
representation are recalled. The combination of the weight function with the objective function
allows to accommodate the estimator to the level and character of contamination. The results
of simulation studies conrm it.