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Název:
Nonparametric Bootstrap Techniques for Implicitly Weighted Robust Estimators
Autoři: Kalina, Jan
Typ dokumentu: Příspěvky z konference
Konference/Akce: International Days of Statistics and Economics /12./, Prague (CZ), 20180906
Rok: 2018
Jazyk: eng
Abstrakt: 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.
Klíčová slova: correlation coefficient; econometrics; multivariate data; robust statistics
Číslo projektu: GA17-07384S (CEP)
Poskytovatel projektu: GA ČR
Zdrojový dokument: The 12th International Days of Statistics and Economics Conference Proceedings, ISBN 978-80-87990-14-8
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_2018/article/3-Kalina-Jan-paper.pdf
Původní záznam: http://hdl.handle.net/11104/0289872
Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-390097
Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav informatiky
Konferenční materiály > Příspěvky z konference
Autoři: Kalina, Jan
Typ dokumentu: Příspěvky z konference
Konference/Akce: International Days of Statistics and Economics /12./, Prague (CZ), 20180906
Rok: 2018
Jazyk: eng
Abstrakt: 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.
Klíčová slova: correlation coefficient; econometrics; multivariate data; robust statistics
Číslo projektu: GA17-07384S (CEP)
Poskytovatel projektu: GA ČR
Zdrojový dokument: The 12th International Days of Statistics and Economics Conference Proceedings, ISBN 978-80-87990-14-8
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_2018/article/3-Kalina-Jan-paper.pdf
Původní záznam: http://hdl.handle.net/11104/0289872
Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-390097
Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav informatiky
Konferenční materiály > Příspěvky z konference
Záznam vytvořen dne 2018-12-07, naposledy upraven 2023-12-06.