CONSISTENCY OF THE LEAST WEIGHTED SQUARES UNDER HETEROSCEDASTICITY

被引：0

作者：

Visek, Jan Amos ^{[1
,2
]}

机构：

[1] Charles Univ Prague, Dept Macroecon & Econometr, Inst Econ Studies, Fac Social Siences, Prague 11001 1, Czech Republic

[2] Acad Sci Czech Republ, Inst Informat Theory & Automat, Dept Econometr, CR-18208 Prague 8, Czech Republic

来源：

KYBERNETIKA | 2011年 / 47卷 / 02期

关键词：

robustness; weighting the order statistics of the squared residuals; consistency of the least weighted squares under heteroscedasticity; SENSITIVITY-ANALYSIS;

D O I：

暂无

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：179 / 206

页数：28

共 50 条

[41] CONSISTENCY OF LEAST SQUARES ESTIMATES IN LINEAR MODELS
陈希孺
Science China Mathematics, 1979, (S1) : 162 - 176
[42] Consistency for the least squares estimator in nonparametric regression
VandeGeer, S
Wegkamp, M
ANNALS OF STATISTICS, 1996, 24 (06): : 2513 - 2523
[43] ON THE CONSISTENCY OF A LEAST-SQUARES IDENTIFICATION PROCEDURE
MANDL, P
DUNCAN, TE
PASIKDUNCAN, B
KYBERNETIKA, 1988, 24 (05) : 340 - 346
[44] Multivariate Weighted Total Least Squares Based on the Standard Least-Squares Theory
Gholinejad, Saeid
Amiri-Simkooei, Alireza
JOURNAL OF SURVEYING ENGINEERING, 2023, 149 (04)
[45] On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing
Luati, Alessandra
Proietti, Tommaso
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2011, 63 (04) : 851 - 871
[46] On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing
Alessandra Luati
Tommaso Proietti
Annals of the Institute of Statistical Mathematics, 2011, 63 : 851 - 871
[47] A robust weighted least squares support vector regression based on least trimmed squares
Chen, Chuanfa
Yan, Changqing
Li, Yanyan
NEUROCOMPUTING, 2015, 168 : 941 - 946
[48] Weighted Least Squares and Least Median Squares estimation for the fuzzy linear regression analysis
D'Urso P.
Massari R.
METRON, 2013, 71 (3) : 279 - 306
[49] On the weighted least-squares, the ordinary least-squares and the best linear unbiased estimators under a restricted growth curve model
Song, Guang Jing
Wang, Qing Wen
STATISTICAL PAPERS, 2014, 55 (02) : 375 - 392
[50] On the weighted least-squares, the ordinary least-squares and the best linear unbiased estimators under a restricted growth curve model
Guang Jing Song
Qing Wen Wang
Statistical Papers, 2014, 55 : 375 - 392

← 1 2 3 4 5 →