Implicitly weighted robust estimation of quantiles in linear regression

Result code in IS VaVaI
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Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Implicitly weighted robust estimation of quantiles in linear regression
Original language description
Estimation of quantiles represents a very important task in econometric regression modeling, while the standard regression quantiles machinery is well developed as well as popular with a large number of econometric applications. Although regression quantiles are commonly known as robust tools, they are vulnerable to the presence of leverage points in the data. We propose here a novel approach for the linear regression based on a specific version of the least weighted squares estimator, together with an additional estimator based only on observations between two different novel quantiles. The new methods are conceptually simple and comprehensible. Without the ambition to derive theoretical properties of the novel methods, numerical computations reveal them to perform comparably to standard regression quantiles, if the data are not contaminated by outliers. Moreover, the new methods seem much more robust on a simulated dataset with severe leverage points.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Conference Proceedings. 37th International Conference on Mathematical Methods in Economics 2019
ISBN
978-80-7394-760-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
25-30
Publisher name
University of South Bohemia in České Budějovice, Faculty of Economics
Place of publication
České Budějovice
Event location
České Budějovice
Event date
Sep 11, 2019
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000507570400003

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