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Bibliography

Monography Chapter

Robust error-term-scale estimate

Víšek Jan Ámos

: Nonparametrics and Robustness in Modern Statistical Inference and Time Series Analysis: Festschrift for Jana Jureckova, p. 254-267 , Eds: Antoch Jaromir, Huskova Marie, Sen Pranab

: CEZ:AV0Z10750506

: GA402/09/0557, GA UK

: Robustness, Regression, Disturbances, Scale estimate

: http://library.utia.cas.cz/separaty/2011/SI/visek-robust error-term-scale estimate.pdf

(eng): A scale-equivariant and regression-invariant estimator of the variance of error terms in the linear regression model is proposed and its consistency proved. The estimator is based on (down)weighting the order statistics of the squared residuals which corresponds to the consistent and scale- and regression-equivariant estimator of the regression coefficients. A~small numerical study demonstrating the behaviour of the estimator under the various types of contamination is included.

: BB