Implicitly weighted robust estimation of quantiles in linear regression

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Implicitly weighted robust estimation of quantiles in linear regression

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Implicitly weighted robust estimation of quantiles in linear regression

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

25-30

Název nakladatele

University of South Bohemia in České Budějovice, Faculty of Economics

Místo vydání

České Budějovice

Místo konání akce

České Budějovice

Datum konání akce

11. 9. 2019

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000507570400003