Robust error-term-scale estimate

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10050548" target="_blank" >RIV/00216208:11230/10:10050548 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/10:00365546
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Robust error-term-scale estimate
Original language description
Scale-equivariant and regression-invariant estimator of variance of error terms of regression model is proposed and its consistency proved. It is based on (down)weighting 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 its behaviour under various types of contamination is included.
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F09%2F0557" target="_blank" >GA402/09/0557: Robustification of selected econometric methods</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Book/collection name
Nonparametrics and robustness in modern statistical inference and time series analysis
ISBN
978-0-940600-80-5
Number of pages of the result
14
Pages from-to
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Number of pages of the book
268
Publisher name
Institute of Mathematical Statistics
Place of publication
Beachwood
UT code for WoS chapter
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