Název: Diagnostics for Robust Regression: Linear Versus Nonlinear Model
Autoři: Kalina, Jan
Typ dokumentu: Příspěvky z konference
Konference/Akce: International Days of Statistics and Economics /10./, Prague (CZ), 2016-12-14 / 2016-12-16
Rok: 2016
Jazyk: eng
Abstrakt: 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
Klíčová slova: diagnostic tools; nonlinear regression; outliers; residuals; robust estimation
Číslo projektu: GA13-01930S (CEP), Neuron
Poskytovatel projektu: GA ČR, Nadační fond na podporu vědy
Zdrojový dokument: The 10th International Days of Statistics and Economics Conference Proceedings, ISBN 978-80-87990-10-0

Instituce: Ústav informatiky AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: https://msed.vse.cz/msed_2016/article/3-Kalina-Jan-paper.pdf
Původní záznam: http://hdl.handle.net/11104/0265798

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-261699


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Konferenční materiály > Příspěvky z konference