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
收藏
页码：179 / 206
页数：28
相关论文
共 50 条
  • [21] A mixed weighted least squares and weighted total least squares adjustment method and its geodetic applications
    Zhou, Y.
    Fang, X.
    SURVEY REVIEW, 2016, 48 (351) : 421 - 429
  • [22] EXACT FINITE-SAMPLE RELATIVE EFFICIENCY OF SUBOPTIMALLY WEIGHTED LEAST-SQUARES ESTIMATORS IN MODELS WITH ORDERED HETEROSCEDASTICITY
    SZROETER, J
    JOURNAL OF ECONOMETRICS, 1994, 64 (1-2) : 29 - 43
  • [23] GENERALIZED LEAST SQUARES AND WEIGHTED LEAST SQUARES ESTIMATION METHODS FOR DISTRIBUTIONAL PARAMETERS
    Kantar, Yeliz Mert
    REVSTAT-STATISTICAL JOURNAL, 2015, 13 (03) : 263 - +
  • [24] On accurate error estimates for the quaternion least squares and weighted least squares problems
    Li, Ying
    Wei, Musheng
    Zhang, Fengxia
    Zhao, Jianli
    INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2020, 97 (08) : 1662 - 1677
  • [25] Weighted least squares collocation methods
    Brugnano, Luigi
    Iavernaro, Felice
    Weinmueller, Ewa B.
    APPLIED NUMERICAL MATHEMATICS, 2024, 203 : 113 - 128
  • [26] Weighted Least-Squares PARSIM
    He, Jiabao
    Rojas, Cristian R.
    Hjalmarsson, Hakan
    IFAC PAPERSONLINE, 2024, 58 (15): : 330 - 335
  • [27] Optimality of the least weighted squares estimator
    Masicek, L
    KYBERNETIKA, 2004, 40 (06) : 715 - 734
  • [28] On weighted structured total least squares
    Markovsky, I
    Van Huffel, S
    LARGE-SCALE SCIENTIFIC COMPUTING, 2006, 3743 : 695 - 702
  • [29] On the Weighted Total Least Squares Solutions
    Fang, X.
    Kutterer, H.
    1ST INTERNATIONAL WORKSHOP ON THE QUALITY OF GEODETIC OBSERVATION AND MONITORING SYSTEMS (QUGOMS'11), 2015, 140 : 45 - 50
  • [30] Regression, curvature and weighted least squares
    Green, Peter J.
    Mathematical Programming, Series B, 1988, 42 (01): : 41 - 51
12345