Combining forecasts using the least trimmed squares
Kybernetika (2001)
- Volume: 37, Issue: 2, page [183]-204
- ISSN: 0023-5954
Access Full Article
top
Abstract
topHow to cite
topVíšek, Jan Ámos. "Combining forecasts using the least trimmed squares." Kybernetika 37.2 (2001): [183]-204. <http://eudml.org/doc/33527>.
@article{Víšek2001,
abstract = {Employing recently derived asymptotic representation of the least trimmed squares estimator, the combinations of the forecasts with constraints are studied. Under assumption of unbiasedness of individual forecasts it is shown that the combination without intercept and with constraint imposed on the estimate of regression coefficients that they sum to one, is better than others. A numerical example is included to support theoretical conclusions.},
author = {Víšek, Jan Ámos},
journal = {Kybernetika},
keywords = {regression coefficients},
language = {eng},
number = {2},
pages = {[183]-204},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Combining forecasts using the least trimmed squares},
url = {http://eudml.org/doc/33527},
volume = {37},
year = {2001},
}
TY - JOUR
AU - Víšek, Jan Ámos
TI - Combining forecasts using the least trimmed squares
JO - Kybernetika
PY - 2001
PB - Institute of Information Theory and Automation AS CR
VL - 37
IS - 2
SP - [183]
EP - 204
AB - Employing recently derived asymptotic representation of the least trimmed squares estimator, the combinations of the forecasts with constraints are studied. Under assumption of unbiasedness of individual forecasts it is shown that the combination without intercept and with constraint imposed on the estimate of regression coefficients that they sum to one, is better than others. A numerical example is included to support theoretical conclusions.
LA - eng
KW - regression coefficients
UR - http://eudml.org/doc/33527
ER -
References
top- Bates J. M., Granger C. W. J., 10.1057/jors.1969.103, Oper. Res. Quarterly 20 (1969), 451–468 (1969) DOI10.1057/jors.1969.103
- Bickel P. J., 10.1080/01621459.1975.10479884, J. Amer. Statist. Assoc. 70 (1975), 428–433 (1975) Zbl0322.62038MR0386168DOI10.1080/01621459.1975.10479884
- Clemen R. T., 10.1002/for.3980050104, J. of Forecasting 6 (1986), 31–38 (1986) DOI10.1002/for.3980050104
- Hampel F. R., Ronchetti E. M., Rousseeuw P. J., Stahel W. A., Robust Statistics – The Approach Based on Influence Functions, Wiley, New York 1986 Zbl0733.62038MR0829458
- Peel K. Holdenand D. A., 10.1002/for.3980080304, J. of Forecasting 8 (1989), 175–188 (1989) DOI10.1002/for.3980080304
- Huber P. J., Robust Statistics, Wiley, New York 1981 MR0606374
- Jurečková J., Sen P. K., Regression rank scores scale statistics and studentization in linear models, In: Proceedings of the Fifth Prague Symposium on Asymptotic Statistics, Physica Verlag, Heidelberg 1993, pp. 111–121 (1993) MR1311932
- Rao R. C., Linear Statistical Inference and Its Applications, Wiley, New York 1973 Zbl0256.62002MR0346957
- Rubio A. M., Aguilar L. Z., Víšek J. Á., Combining the forecasts using constrained -estimators, Bull. Czech Econometric Society 4 (1996), 61–72 (1996)
- Rubio A. M., Víšek J. Á., Estimating the contamination level of data in the framework of linear regression analysis, Qűestiió 21 (1997), 9–36 (1997) Zbl1167.62388MR1476149
- Varadarajan V. S., A useful convergence theorem, Sankhyã 20 (1958), 221–222 (1958) Zbl0088.11303MR0107290
- Víšek J. Á., Stability of regression model estimates with respect to subsamples, Computational Statistics 7 (1992), 183–203 (1992) Zbl0775.62182MR1178353
- Víšek J. Á., Statistická analýza dat, (Statistical Data Analysis – a textbook in Czech.) Publishing House of the Czech Technical University Prague 1997
- Víšek J. Á., Robust constrained combination of forecasts, Bull. Czech Econometric Society 5 (1998), 8, 53–80 (1998)
- Víšek J. Á., Robust instruments, In: Robust’98 (J. Antoch and G. Dohnal, eds.), Union of the Czech Mathematicians and Physicists, Prague 1998, pp. 195–224 (1998)
- Víšek J. Á., Robust specification test, In: Proceedings of Prague Stochastics’98 (M. Hušková, P. Lachout and J. Á. Víšek, eds.), Union of Czech Mathematicians and Physicists 1998, pp. 581–586 (1998)
- Víšek J. Á., Robust estimation of regression model, Bull. Czech Econometric Society 9 (1999), 57–79 (1999)
- Víšek J. Á., The least trimmed squares – random carriers, Bull. Czech Econometric Society 10 (1999), 1–30 (1999)
- Víšek J. Á., Robust instrumental variables and specification test, In: PRASTAN 2000, Proceedings of the conference “Mathematical Statistics and Numerical Mathematics and Their Applications”, (M. Kalina, J. Kalická, O. Nanásiová and A. Handlovičová, eds.), Comenius University, pp. 133–164
- Víšek J. Á., Regression with high breakdown point, In: Proceedings of ROBUST 2000, Nečtiny, Union of the Czech Mathematicians and Physicists and The Czech Statistical Society. Submitted
- Víšek J. Á., A new paradigm of point estimation, In: Proceedings of seminar “Data Processing”, TRYLOBITE, Pardubice 2000. Submitted
- Wald A., Wolfowitz J., 10.1214/aoms/1177731207, Ann. Math. Statist. 15 (1944), 358–372 (1944) Zbl0063.08124MR0011424DOI10.1214/aoms/1177731207
- Yohai V. J., Maronna R. A., 10.1214/aos/1176344610, Ann. Statist. 7 (1979), 258–268 (1979) MR0520237DOI10.1214/aos/1176344610
NotesEmbed ?
topYou must be logged in to post comments.
To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.