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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Highly Robust Estimation of the Autocorrelation Coefficient
 Kalina, Jan ; Vlčková, Katarína
The classical autocorrelation coefficient estimator in the time series context is very sensitive to the presence of outlying measurements in the data. This paper proposes several new robust estimators of the autocorrelation coefficient. First, we consider an autoregressive process of the first order AR(1) to be observed. Robust estimators of the autocorrelation coefficient are proposed in a straightforward way based on robust regression. Further, we consider the task of robust estimation of the autocorrelation coefficient of residuals of linear regression. The task is connected to verifying the assumption of independence of residuals and robust estimators of the autocorrelation coefficient are defined based on the Durbin-Watson test statistic for robust regression. The main result is obtained for the implicitly weighted autocorrelation coefficient with small weights assigned to outlying measurements. This estimator is based on the least weighted squares regression and we exploit its asymptotic properties to derive an asymptotic test that the autocorrelation coefficient is equal to 0. Finally, we illustrate different estimators on real economic data, which reveal the advantage of the approach based on the least weighted squares regression. The estimator turns out to be resistant against the presence of outlying measurements.
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Character of the czech economy in transition
 Víšek, Jan Ámos
Studies of the export from and the foreigner direct investment into the 91 industries of the Czech republic led to the conclusion that these industries may be divided into two groups. For the first one we have empirical evidence that Cobb-Douglas production function take place while for the other a model with direct proportion between capital and labor is statistically well determined. The conclusion was enabled by applying the least trimmed squares in the regression analysis.
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