Nonparametric Bootstrap Techniques for Implicitly Weighted Robust Estimators

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F18%3A00497296" target="_blank" >RIV/67985807:_____/18:00497296 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/18:00506936
Result on the web
<a href="https://msed.vse.cz/msed_2018/article/3-Kalina-Jan-paper.pdf" target="_blank" >https://msed.vse.cz/msed_2018/article/3-Kalina-Jan-paper.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Nonparametric Bootstrap Techniques for Implicitly Weighted Robust Estimators
Original language description
The paper is devoted to highly robust statistical estimators based on implicit weighting, which have a potential to find econometric applications. Two particular methods include a robust correlation coefficient based on the least weighted squares regression and the minimum weighted covariance determinant estimator, where the latter allows to estimate the mean and covariance matrix of multivariate data. New tools are proposed allowing to test hypotheses about these robust estimators or to estimate their variance. The techniques considered in the paper include resampling approaches with or without replacement, i.e. permutation tests, bootstrap variance estimation, and bootstrap confidence intervals. The performance of the newly described tools is illustrated on numerical examples. They reveal the suitability of the robust procedures also for non-contaminated data, as their confidence intervals are not much wider compared to those for standard maximum likelihood estimators. While resampling without replacement turns out to be more suitable for hypothesis testing, bootstrapping with replacement yields reliable confidence intervals but not corresponding hypothesis tests.
Czech name
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Czech description
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Project
<a href="/en/project/GA17-07384S" target="_blank" >GA17-07384S: Nonparametric (statistical) methods in modern econometrics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
The 12th International Days of Statistics and Economics Conference Proceedings
ISBN
978-80-87990-14-8
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
770-779
Publisher name
Melandrium
Place of publication
Slaný
Event location
Prague
Event date
Sep 6, 2018
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000455809400077

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