Autocorrelated residuals of robust regression
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F13%3A00397797" target="_blank" >RIV/67985807:_____/13:00397797 - isvavai.cz</a>
Result on the web
<a href="http://msed.vse.cz/files/2013/1-Kalina-Jan-paper.pdf" target="_blank" >http://msed.vse.cz/files/2013/1-Kalina-Jan-paper.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Autocorrelated residuals of robust regression
Original language description
The work is devoted to the Durbin-Watson test for robust linear regression methods. First we explain consequences of the autocorrelation of residuals on estimating regression parameters. We propose an asymptotic version of the Durbin-Watson test for regression quantiles and trimmed least squares and derive an asymptotic approximation to the exact null distribution of the test statistic, exploiting the asymptotic representation for both regression estimators. Further, we consider the least weighted squares estimator, which is a highly robust estimator based on the idea to down-weight less reliable observations. We compare various versions of the Durbin-Watson test for the least weighted squares estimator. The asymptotic test is derived using two versions of the asymptotic representation. Finally, we investigate a weighted Durbin-Watson test using the weights determined by the least weighted squares estimator. The exact test is described and also an asymptotic approximation to the distri
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
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
The 7th International Days of Statistics and Economics
ISBN
978-80-86175-87-4
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
551-560
Publisher name
Melandrium
Place of publication
Slaný
Event location
Prague
Event date
Sep 19, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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