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 |
| Year: | 2016 |
| Number: | 0 |
| 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 |
| JEL codes: | |
| Suggested Citation: | |
| 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 con rm it. |
