Consistency of the least weighted squares under heteroscedasticity

Title:

Consistency of the least weighted squares under heteroscedasticity

Creator:

Vííšek, Jan Ámos

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:5cd27d0b-976d-40d2-8080-f607108beb1c
uuid:5cd27d0b-976d-40d2-8080-f607108beb1c

Subject:

robustness, weighting the order statistics of the squared residuals, and consistency of the least weighted squares under heteroscedasticity

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

A robust version of the Ordinary Least Squares accommodating the idea of weighting the order statistics of the squared residuals (rather than directly the squares of residuals) is recalled and its properties are studied. The existence of solution of the corresponding extremal problem and the consistency under heteroscedasticity is proved.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[179]-206

Source:

Kybernetika | 2011 Volume:47 | Number:2

Harvested from:

CDK

Metadata only:

false