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Robust Estimation of Regression Model

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  • Jan Víšek
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    Abstract

    Several problems emerging with the studentization of M-estimators of regression model are briefly discussed and reasons for an enlargement of famous Hampel's program are given. Paper then presents a proposal of a scale-equivariant and regression-invariant scale estimator with an acceptable computational complexity. Finally numerical results of estimation of scale for several famous data sets are offered as an empirical evidence of finite-sample behavior of the estimator.

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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/69
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    Bibliographic Info

    Article provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.

    Volume (Year): 6 (1999)
    Issue (Month): 9 ()
    Pages:

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    Handle: RePEc:czx:journl:v:6:y:1999:i:9:id:69

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    Related research

    Keywords: Complexity of computation in robust estimation; diversity of estimators with high breakdown point; scale estimator in regression framework; invariance and equivariance; studentization of residuals;

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