The least weighted squares with constraints and under heteroscedasticity

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10192060" target="_blank" >RIV/00216208:11230/13:10192060 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
The least weighted squares with constraints and under heteroscedasticity
Original language description
Consistency of the least weighted squares with constraints under heteroscedasticity is proved and the patterns of numerical study (for the whole collection of situations) reveals its finite sample properties (on the background of the well-known least trimmed squares). The possibility of making idea about the spread of the estimator is briefly discussed in the framework of numerical study. The pros and cons of the estimator are also summarized. The loss of efficiency of the estimator, when there is no contamination, as well as an increase of variance caused by collinearity are also addressed. Behaviour of the estimator with constraints under various types and levels of contamination (when simultaneously the collinearity of design matrix and the heteroscedasticity of disturbances take place) is studied. The empirical mean square errors and empirical variances} are reported.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Project
<a href="/en/project/GA13-01930S" target="_blank" >GA13-01930S: Robust methods for nonstandard situations, their diagnostics and implementations</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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