Institute of Information Theory and Automation

Publication details

Robust error-term-scale estimate

Monography Chapter

Víšek Jan Ámos

serial: 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

research: CEZ:AV0Z10750506

project(s): GA402/09/0557, GA UK

keywords: Robustness, Regression, Disturbances, Scale estimate

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abstract (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.


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Last modification: 21.12.2012
Institute of Information Theory and Automation