| bibtype |
M -
Monography Chapter
|
| ARLID |
0365546 |
| utime |
20240103195650.9 |
| mtime |
20111103235959.9 |
| title
(primary) (eng) |
Robust error-term-scale estimate |
| specification |
| page_count |
14 s. |
| book_pages |
267 |
|
| serial |
| ARLID |
cav_un_epca*0365545 |
| ISBN |
978-0-940600-80-5 |
| ISSN |
1939-4039 |
| title
|
Nonparametrics and Robustness in Modern Statistical Inference and Time Series Analysis: Festschrift for Jana Jureckova |
| part_title |
IMS Collections |
| page_num |
254-267 |
| publisher |
| place |
USA |
| name |
Institute of Mathematical Statistics (IMS) |
| year |
2010 |
|
| editor |
| name1 |
Antoch |
| name2 |
Jaromir |
|
| editor |
| name1 |
Huskova |
| name2 |
Marie |
|
| editor |
|
|
| keyword |
Robustness |
| keyword |
Regression |
| keyword |
Disturbances |
| keyword |
Scale estimate |
| author
(primary) |
| ARLID |
cav_un_auth*0101225 |
| name1 |
Víšek |
| name2 |
Jan Ámos |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/09/0557 |
| agency |
GA UK |
| country |
CZ |
| ARLID |
cav_un_auth*0278673 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
A scale-equivariant and regression-invariant estimator of the variance of error terms in the linear regression model is proposed and its consistency proved. The estimator is based on (down)weighting the order statistics of the squared residuals which corresponds to the consistent and scale- and regression-equivariant estimator of the regression coefficients. A~small numerical study demonstrating the behaviour of the estimator under the various types of contamination is included. |
| reportyear |
2012 |
| RIV |
BB |
| num_of_auth |
1 |
| permalink |
http://hdl.handle.net/11104/0200767 |
| arlyear |
2010 |
| mrcbU63 |
cav_un_epca*0365545 Nonparametrics and Robustness in Modern Statistical Inference and Time Series Analysis: Festschrift for Jana Jureckova 978-0-940600-80-5 1939-4039 254 267 USA Institute of Mathematical Statistics (IMS) 2010 Books IMS IMS Collections vol 7(2010) IMS Collections |
| mrcbU67 |
Antoch Jaromir 340 |
| mrcbU67 |
Huskova Marie 340 |
| mrcbU67 |
Sen Pranab 340 |
|