Publication detail

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

Author(s): prof. RNDr. Jan Ámos Víšek CSc.,
Type: Article in collection
Year: 2016
Number: 0
Published in: Proceedings 4th Stochastic Modeling Techniques and Data Analysis International Conferencewith Demographics Workshop, SMTDA 2016, 425 - 438.
Publishing place: Valletta Malta
Keywords: {Robustness, implicit weighting, the order statistics of the absolute values of residuals, the consistency of the SW-estimator under heteroscedasticity, asymptotic representation.
JEL codes:
Suggested Citation:
Grants: GAČR 13-01930S Robust methods for nonstandard situations, their diagnostics and implementations
Abstract: 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.




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