Search Results - subject:"M‐estimator"

On robust estimation of negative binomial INARCH models

Elsaied, Hanan; Fried, Roland - In: METRON 79 (2021) 2, pp. 137-158

We discuss robust estimation of INARCH models for count time series, where each observation conditionally on its past follows a negative binomial distribution with a constant scale parameter, and the conditional mean depends linearly on previous observations. We develop several robust...

Persistent link: https://www.econbiz.de/10014501775

Asymptotic analysis of Iterated 1-step Huber-skip M-estimators with varying cut-offs

Jiao, Xiyu; Nielsen, Bent - 2016

Persistent link: https://www.econbiz.de/10011539752

Asymptotic distributions of robust shape matrices and scales

Frahm, Gabriel - 2008

It has been frequently observed in the literature that many multivariate statistical methods require the covariance or dispersion matrix ∑ of an elliptical distribution only up to some scaling constant. If the topic of interest is not the scale but only the shape of the elliptical...

Persistent link: https://www.econbiz.de/10010304418

Asymptotic distributions of robust shape matrices and scales

Frahm, Gabriel - Seminar für Wirtschafts- und Sozialstatistik, … - 2008

Persistent link: https://www.econbiz.de/10009019658

Robust Hypothesis Tests for M-Estimators with Possibly Non-differentiable Estimating Functions

Lee, Wei-Ming; Hsu, Yu-Chin; Kuan, Chung-Ming - Institute of Economics, Academia Sinica - 2014

We propose a new robust hypothesis test for (possibly nonlinear) constraints on Mestimators with possibly non-differentiable estimating functions. The proposed test employs a random normalizing matrix computed from recursive M-estimators to eliminate the nuisance parameters arising from the...

Persistent link: https://www.econbiz.de/10011277957

Robust hypothesis tests for m-estimators with possibly non-differentiable estimating functions

Lee, Wei-ming; Hsu, Yu-Chin; Kuan, Chung-ming - 2014

Persistent link: https://www.econbiz.de/10010355209

Simultaneous robust estimation of multi-response surfaces in the presence of outliers

Bashiri, Mahdi; Moslemi, Amir - In: Journal of Industrial Engineering International 9 (2013), pp. 1-12

analyzed; thus, multi-response problems have more applications. The robust regression approach used in this paper is based on M-estimator …

Persistent link: https://www.econbiz.de/10010317834

Joint robust parameter estimation for symmetric stable distributions

Csendes, Csilla - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 85-106

In this paper we present a robust parameter estimation method for jointly estimating shape parameter α, scale parameter γ and location parameter δ of a symmetric stable distribution. The proposed estimation method is based on Probability Integral Transformation (PIT) and robust M-estimators....

Persistent link: https://www.econbiz.de/10009769895

Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors

Chen, Jia; Li, Degui; Lin, Zhengyan - 2011

We consider asymptotic expansion of the nonparametric M-estimator in a fixed-design nonlinear regression model when the … errors are generated by long-memory linear processes. Under mild conditions, we show that the nonparametric M-estimator is … first-order equivalent to the Nadaraya–Watson (NW) estimator, which implies that the nonparametric M-estimator has the same …

Persistent link: https://www.econbiz.de/10009448727

Comparing Predictive Values of Two diagnostic tests

Cho, Yoonjin - 2009

. In Chapter 3, through M-estimator,we derive another consistent estimator through imputation method. …

Persistent link: https://www.econbiz.de/10009431153