Název: Least Weighted Absolute Value Estimator with an Application to Investment Data
Autoři: Vidnerová, Petra ; Kalina, Jan
Typ dokumentu: Příspěvky z konference
Konference/Akce: International Days of Statistics and Economics /14./, Prague (CZ), 20200910
Rok: 2020
Jazyk: eng
Abstrakt: While linear regression represents the most fundamental model in current econometrics, the least squares (LS) estimator of its parameters is notoriously known to be vulnerable to the presence of outlying measurements (outliers) in the data. The class of M-estimators, thoroughly investigated since the groundbreaking work by Huber in 1960s, belongs to the classical robust estimation methodology (Jurečková et al., 2019). M-estimators are nevertheless not robust with respect to leverage points, which are defined as values outlying on the horizontal axis (i.e. outlying in one or more regressors). The least trimmed squares estimator seems therefore a more suitable highly robust method, i.e. with a high breakdown point (Rousseeuw & Leroy, 1987). Its version with weights implicitly assigned to individual observations, denoted as the least weighted squares estimator, was proposed and investigated in Víšek (2011). A trimmed estimator based on the 𝐿1-norm is available as the least trimmed absolute value estimator (Hawkins & Olive, 1999), which has not however acquired attention of practical econometricians. Moreover, to the best of our knowledge, its version with weights implicitly assigned to individual observations seems to be still lacking.
Klíčová slova: computational aspects; implicit weighting; nonparametric bootstrap; regression median; robust regression
Číslo projektu: GA18-23827S (CEP), GA19-05704S (CEP)
Poskytovatel projektu: GA ČR, GA ČR
Zdrojový dokument: The 14th International Days of Statistics and Economics Conference Proceedings, ISBN 978-80-87990-22-3

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_2020/article/351-Vidnerova-Petra-paper.pdf
Původní záznam: http://hdl.handle.net/11104/0313658

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-432444


Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav informatiky
Konferenční materiály > Příspěvky z konference
 Záznam vytvořen dne 2021-02-24, naposledy upraven 2023-12-06.


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