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  • Search: subject:"Least-trimmed squares estimator"
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Year of publication
Subject
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least trimmed squares estimator 3 Huber's skip 2 one-step estimator 2 outlier robustness 2 ARCH model 1 ARCH-Modell 1 Analysis of variance 1 Breakdown point 1 Correlation 1 Empirical processes 1 Estimation theory 1 Forecasting model 1 HAR 1 Korrelation 1 Least-trimmed squares estimator 1 Minimum covariance determinant 1 Multiple Regression 1 Multiple regression 1 Multivariate Analyse 1 Multivariate analysis 1 Multivariate regression 1 Multivariate volatility 1 Portfolio allocation 1 Portfolio selection 1 Portfolio-Management 1 Prognoseverfahren 1 Schätztheorie 1 Varianzanalyse 1 Volatility 1 Volatilität 1 empirical processes 1 equivariance 1 errors-in-variables model 1 orthogonal regression 1
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Online availability
All
Free 2 Undetermined 2
Type of publication
All
Article 2 Book / Working Paper 2
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 2 Undetermined 2
Author
All
Johansen, Søren 2 Nielsen, Bent 2 Clements, Adam 1 Drovandi, Christopher 1 Jung, Kang-Mo 1 Li, Dan 1
Institution
All
School of Economics and Management, University of Aarhus 1 Økonomisk Institut, Københavns Universitet 1
Published in...
All
CREATES Research Papers 1 Discussion Papers / Økonomisk Institut, Københavns Universitet 1 International journal of forecasting 1 Journal of Applied Statistics 1
Source
All
RePEc 3 ECONIS (ZBW) 1
Showing 1 - 4 of 4
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Outlier-robust methods for forecasting realized covariance matrices
Li, Dan; Drovandi, Christopher; Clements, Adam - In: International journal of forecasting 40 (2024) 1, pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
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Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli
Johansen, Søren; Nielsen, Bent - School of Economics and Management, University of Aarhus - 2010
The Forward Search Algorithm is a statistical algorithm for obtaining robust estimators of regression coefficients in the presence of outliers. The algorithm selects a succession of subsets of observations from which the parameters are estimated. The present note shows how the theory of...
Persistent link: https://www.econbiz.de/10008596148
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Cover Image
Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli
Johansen, Søren; Nielsen, Bent - Økonomisk Institut, Københavns Universitet - 2010
The Forward Search Algorithm is a statistical algorithm for obtaining robust estimators of regression coefficients in the presence of outliers. The algorithm selects a succession of subsets of observations from which the parameters are estimated. The present note shows how the theory of...
Persistent link: https://www.econbiz.de/10008631590
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Least Trimmed Squares Estimator in the Errors-in-Variables Model
Jung, Kang-Mo - In: Journal of Applied Statistics 34 (2007) 3, pp. 331-338
We propose a robust estimator in the errors-in-variables model using the least trimmed squares estimator. We call this …
Persistent link: https://www.econbiz.de/10005639665
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