Consistency of the least weighted squares under heteroscedasticity

Jan Ámos Víšek

Kybernetika (2011)

  • Volume: 47, Issue: 2, page 179-206
  • ISSN: 0023-5954

Abstract

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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.

How to cite

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Víšek, Jan Ámos. "Consistency of the least weighted squares under heteroscedasticity." Kybernetika 47.2 (2011): 179-206. <http://eudml.org/doc/196601>.

@article{Víšek2011,
abstract = {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.},
author = {Víšek, Jan Ámos},
journal = {Kybernetika},
keywords = {robustness; weighting the order statistics of the squared residuals; consistency of the least weighted squares under heteroscedasticity; robustness; weighting order statistics of squared residuals},
language = {eng},
number = {2},
pages = {179-206},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Consistency of the least weighted squares under heteroscedasticity},
url = {http://eudml.org/doc/196601},
volume = {47},
year = {2011},
}

TY - JOUR
AU - Víšek, Jan Ámos
TI - Consistency of the least weighted squares under heteroscedasticity
JO - Kybernetika
PY - 2011
PB - Institute of Information Theory and Automation AS CR
VL - 47
IS - 2
SP - 179
EP - 206
AB - 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.
LA - eng
KW - robustness; weighting the order statistics of the squared residuals; consistency of the least weighted squares under heteroscedasticity; robustness; weighting order statistics of squared residuals
UR - http://eudml.org/doc/196601
ER -

References

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