Minimum distance tests and estimates based on ranks
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F20%3A00117545" target="_blank" >RIV/00216224:14310/20:00117545 - isvavai.cz</a>
Result on the web
<a href="https://www.ine.pt/revstat/pdf/REVSTAT_v18-n3-4.pdf" target="_blank" >https://www.ine.pt/revstat/pdf/REVSTAT_v18-n3-4.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Minimum distance tests and estimates based on ranks
Original language description
It is well known that the least squares estimate in classical linear regression model is very sensitive to violation of the assumptions, in particular normality of model errors. That is why a lot of alternative estimates has been developed to overcome these shortcomings. Quite interesting class of such estimates is formed by R-estimates. They use only ranks of response variable instead of their actual value. The goal of this paper is to extend this class by another estimates and tests based only on ranks. First, we will introduce a new rank test in linear regression model. The test statistic is based on a certain minimum distance estimator, but unlike classical rank tests in regression it is not a simple linear rank statistic. Then, we will return back to estimates and generalize minimum distance estimates for various type of distances. We will show that in some situation these tests and estimates have greater power than the classical ones. Theoretical results will be accompanied by a simulation study to illustrate finite sample behavior of estimates and tests.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
REVSTAT Statistical Journal
ISSN
1645-6726
e-ISSN
2183-0371
Volume of the periodical
18
Issue of the periodical within the volume
3
Country of publishing house
PT - PORTUGAL
Number of pages
12
Pages from-to
299-310
UT code for WoS article
000557809200004
EID of the result in the Scopus database
2-s2.0-85090629480