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Diagnostics for Robust Regression: Linear Versus Nonlinear Model

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F16%3A00467762" target="_blank" >RIV/67985807:_____/16:00467762 - isvavai.cz</a>

  • Result on the web

    <a href="https://msed.vse.cz/msed_2016/article/3-Kalina-Jan-paper.pdf" target="_blank" >https://msed.vse.cz/msed_2016/article/3-Kalina-Jan-paper.pdf</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Diagnostics for Robust Regression: Linear Versus Nonlinear Model

  • Original language description

    Robust statistical methods represent important tools for estimating parameters in linear as well as nonlinear econometric models. In contrary to the least squares, they do not suffer from vulnerability to the presence of outlying measurements in the data. Nevertheless, they need to be accompanied by diagnostic tools for verifying their assumptions. In this paper, we propose the asymptotic Goldfeld-Quandt test for the regression median. It allows to formulate a natural procedure for models with heteroscedastic disturbances, which is again based on the regression median. Further, we pay attention to nonlinear regression model. We focus on the nonlinear least weighted squares estimator, which is one of recently proposed robust estimators of parameters in a nonlinear regression. We study residuals of the estimator and use a numerical simulation to reveal that they can be severely heteroscedastic also for data generated from a model with homoscedastic disturbances. Thus, we give a warning that standard residuals of the robust nonlinear estimator may produce misleading results if used for the standard diagnostic tools

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2016

  • 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 10th International Days of Statistics and Economics Conference Proceedings

  • ISBN

    978-80-87990-10-0

  • ISSN

  • e-ISSN

  • Number of pages

    10

  • Pages from-to

    781-790

  • Publisher name

    MELANDRIUM

  • Place of publication

    Slaný

  • Event location

    Prague

  • Event date

    Dec 14, 2016

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    000389515100077