Weak consistency and weak square root n-consistency of the ridge least weighted squares
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F11%3A10101410" target="_blank" >RIV/00216208:11320/11:10101410 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Weak consistency and weak square root n-consistency of the ridge least weighted squares
Original language description
The regression method ridge least weighted squares (RLWS) was presented in [4] as a method which can handle multicollinearity as well as contamination simultaneously. This estimator combines the principles of the ridge regression and the least weighted squares (LWS) proposed in [10]. The normal equations for LWS and RLWS do not differ so much, thus we can use profitably the results of LWS consistency already presented in [12] and [13]. Therefore, it is possible to prove weak consistency and also weak square root n-consistency of RLWS in spite of the fact that the RLWS estimate is biased. All results are proven under heteroscedasticity
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 14th Applied Stochastic Models and Data Analysis (AMSDA 2011) Conference
ISBN
978-88-467-3045-9
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
635-643
Publisher name
Faculty of Economisc of the University of Rome
Place of publication
Rome, Italy
Event location
Řím, Itálie
Event date
Jun 7, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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