Three Contributions to Robust Regression Diagnostics

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F15%3A00456162" target="_blank" >RIV/67985807:_____/15:00456162 - isvavai.cz</a>

Result on the web

<a href="http://www.degruyter.com/view/j/jamsi.2015.11.issue-2/jamsi-2015-0013/jamsi-2015-0013.xml?format=INT" target="_blank" >http://www.degruyter.com/view/j/jamsi.2015.11.issue-2/jamsi-2015-0013/jamsi-2015-0013.xml?format=INT</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Three Contributions to Robust Regression Diagnostics

Original language description

Robust regression methods have been developed not only as a diagnostic tool for standard least squares estimation in statistical and econometric applications, but can be also used as self-standing regression estimation procedures. Therefore, they need tobe equipped by their own diagnostic tools. This paper is devoted to robust regression and presents three contributions to its diagnostic tools or estimating regression parameters under non-standard conditions. Firstly, we derive the Durbin-Watson test of independence of random regression errors for the regression median. The approach is based on the approximation to the exact null distribution of the test statistic. Secondly, we accompany the least trimmed squares estimator by a subjective criterion for selecting a suitable value of the trimming constant. Thirdly, we propose a robust version of the instrumental variables estimator. The new methods are illustrated on examples with real data and their advantages and limitations are discu

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BA - General mathematics

OECD FORD branch

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Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of applied mathematics, statistics and informatics

ISSN

1336-9180

e-ISSN

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Volume of the periodical

11

Issue of the periodical within the volume

2

Country of publishing house

SK - SLOVAKIA

Number of pages

10

Pages from-to

69-78

UT code for WoS article

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EID of the result in the Scopus database

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