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Combining information in statistical modelling

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  • Peña, Daniel

Abstract

How to combine information from different sources is becoming an important statistical area of research under the name of Meta Analysis. This paper shows that the estimation of a parameter or the forecast of a random variable can also be seen as a process of combining information. It is shown that this approach can provide sorne useful insights on the robustness properties of sorne statistical procedures, and it also allows the comparison of statistical models within a common framework. Sorne general combining rules are illustrated using examples from ANOVA analysis, diagnostics in regression, time series forecasting, missing value estimation and recursive estimation using the Kalman Filter.

Suggested Citation

  • Peña, Daniel, 1995. "Combining information in statistical modelling," DES - Working Papers. Statistics and Econometrics. WS 4516, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:4516
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    References listed on IDEAS

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    1. DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, vol. 60(2), pages 423-433, March.
    2. Pena, Daniel, 1990. "Influential Observations in Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 235-241, April.
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