0506936 20240103222329.120190726235959.9 000455809400077 10 s. P cav_un_epca*0497295978-80-87990-14-8770-779SlanýMelandrium2018LösterT.PavelkaT. robust statistics multivariate data correlation coefficient econometrics cav_un_auth*0345793 Kalina Jan Stochastická informatika Department of Stochastic Informatics SI SI UTIA-B Department of Stochastic Informatics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2019/SI/kalina-0506936.pdf cav_un_auth*0345381 GA17-07384S GA ČR The paper is devoted to highly robust statistical estimators based on implicit weighting, which have a potential to find econometric applications. Two particular methods include a robust correlation coefficient based on the least weighted squares regression and the minimum weighted covariance determinant estimator, where the latter allows to estimate the mean and covariance matrix of multivariate data. New tools are proposed allowing to test hypotheses about these robust estimators or to estimate their variance. The techniques considered in the paper include resampling approaches with or without replacement, i.e. permutation tests, bootstrap variance estimation, and bootstrap confidence intervals. The performance of the newly described tools is illustrated on numerical examples. They reveal the suitability of the robust procedures also for non-contaminated data, as their confidence intervals are not much wider compared to those for standard maximum likelihood estimators. While resampling without replacement turns out to be more suitable for hypothesis testing, bootstrapping with replacement yields reliable confidence intervals but not corresponding hypothesis tests. cav_un_auth*0368169 International Days of Statistics and Economics /12./ 20180906 20180908 Prague CZ BB 10000 10100 10103 2020 PR RVO:67985556 http://hdl.handle.net/11104/0298063 S n.a. Proceedings Paper Economics|Social Sciences Interdisciplinary n.a. Proceedings Paper Economics|Social Sciences Interdisciplinary n.a. Proceedings Paper Economics|Social Sciences Interdisciplinary 2018 SCOPUS PUBMED 000455809400077 WOS cav_un_epca*0497295 The 12th International Days of Statistics and Economics Conference Proceedings 978-80-87990-14-8 770 779 Slaný Melandrium 2018 340 Löster T. 340 Pavelka T.