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White´s estimator of covariance matrix for instrumental weighted variables
Under heteroscedasticity of the error terms the significance of explanatory variables in a linear regression model have to be established employing the White´s estimator of covariance matrix of
BB - Aplikovaná statistika, operační výzkum
- 2008 •
- D
Rok uplatnění
D - Stať ve sborníku
Empirical distribution function under heteroscedasticity
then White?s estimate of covariance matrix is available for ML-regression analysis, too). To establish White?s-type estimate for another estimator of regre...
BB - Aplikovaná statistika, operační výzkum
- 2011 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
Robustified total least squares
Classical regression estimators, such as the ordinary least squares (LS condition fails. There have been several robust estimators that can cope with this problem. The development of instrumental weighted variables (IWV...
BB - Aplikovaná statistika, operační výzkum
- 2010 •
- D
Rok uplatnění
D - Stať ve sborníku
Nonparametric bootstrap for estimating variability of robust regression estimators
While various robust regression estimators are available for the standard linear regression model, an explicit formula for the covariance matrix is available a nonparametric bootstrap computation of the
Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
- 2019 •
- R •
- Link
Rok uplatnění
R - Software
Výsledek na webu
Heteroscedasticity Resistant Robust Covariance Matrix Estimator
of heteroscedasticity rejects the hypothesis of homoscedasticity, we need an estimator of covariance matrix resistant to heteroscedasticity . The proposal of such an estimator and inconsistent estimates b...
BA - Obecná matematika
- 2010 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Multivariate regression model with constraints
The aim of the paper is to present explicit formulae for parameter estimator and confidence regions in multivariate regression model with different kind of constraints and to give some comments to it. The covariance mat...
BA - Obecná matematika
- 2007 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Residual and nonparametric bootstrap for estimating variability of robust regression estimators
trimmed squares and least weighted squares estimators of parameters in linear regression. Particularly, residual bootstrap and nonparametric bootstrap are computed, which yields estimates of the covariance mat...
Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
- 2019 •
- R •
- Link
Rok uplatnění
R - Software
Výsledek na webu
Minimax estimates of linear parameter function in regression model under restrictions on parameters and variance-covariance matrix
Minimax inhomogeneous linear estimators of scalar linear parameter function under restrictions on parameters and variance covariance matrix are studied in the paper....
BA - Obecná matematika
- 1997 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Robustifying Markowitz
of the covariance operator as a whole and concentrate on robust estimation of the gradientMarkowitz mean-variance portfolios with sample mean and covariance as input to estimation error, they experience extreme we...
Economic Theory
- 2024 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Uncertainty of the design and covariance matrices in linear statistical model
The aim of the paper is to determine an influence of uncertainties in design and covariance matrices on estimators in linear regression model....
BA - Obecná matematika
- 2009 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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