Search Results - subject:"M‐estimator"

M-estimator for estimating the Burr type III parameters with outliers

Wang, Fu-Kwun; Lee, Chih-Wen - In: Mathematics and Computers in Simulation (MATCOM) 105 (2014) C, pp. 144-159

. This paper presents an M-estimator based on the quantile function to estimate the Burr type III parameters for complete … III distribution using the M-estimator. Thus, the confidence intervals for all parameters can be obtained. The simulation … results showed that the M-estimator generally outperforms the maximum likelihood and least squares methods regarding bias …

Persistent link: https://www.econbiz.de/10010906724

M-estimators for single-index model using B-spline

Zou, Qingming; Zhu, Zhongyi - In: Metrika 77 (2014) 2, pp. 225-246

-estimators for the single-index model. Unlike the existing M-estimator for the single-index model, the unknown link function is … M-estimator of unknown function is shown to attain the convergence rate as that of the optimal global rate of …">1980</CitationRef>; Ann Stat 10:1040–1053, <CitationRef CitationID="CR37">1982</CitationRef>), and the M-estimator of parameter is …

Persistent link: https://www.econbiz.de/10010995153

The M-estimator for functional linear regression model

Huang, Lele; Wang, Huiwen; Zheng, Andi - In: Statistics & Probability Letters 88 (2014) C, pp. 165-173

This paper considers the M-estimator for slope function in functional linear regression models. We approximate the … proposed M-estimator. …

Persistent link: https://www.econbiz.de/10010752969

A comparison of the robust conditional order-m estimation and two stage DEA in measuring healthcare efficiency among California counties

Gearhart, Richard, III.; Michieka, Nyakundi M. - In: Economic modelling 73 (2018), pp. 395-406

Persistent link: https://www.econbiz.de/10012100447

Robust estimation of the simplified multivariate GARCH model

Iqbal, Farhat - In: Empirical Economics 44 (2013) 3, pp. 1353-1372

In this paper, robust M-estimation of multivariate GARCH models are considered. The simplified GARCH model is chosen that involves the estimation of only univariate GARCH models, and hence easy to estimate, and does not put additional constraints on the model. The results of Monte Carlo...

Persistent link: https://www.econbiz.de/10010845929

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/10009759158

Robust Value at Risk Prediction

Mancini, Loriano; Trojani, Fabio - 2005

We propose a general robust semiparametric bootstrap method to estimate conditional predictive distributions of GARCH-type models. Our approach is based on a robust estimator for the parameters in GARCH-type models and a robustified resampling method for standardized GARCH residuals, which...

Persistent link: https://www.econbiz.de/10005162990

Firm'investment forecast: An indicator of changes in expectations in industrial investment survey

FERRARI, N. - Département des Études Économiques d'Ensemble (D3E), … - 2005

apply the Quasi-Generalized M-estimator» method. …

Persistent link: https://www.econbiz.de/10009003512

Semicircle law of Tyler’s M-estimator for scatter

Frahm, Gabriel; Glombek, Konstantin - In: Statistics & Probability Letters 82 (2012) 5, pp. 959-964

This paper analyzes the spectral properties of Tyler’s M-estimator for scatter Tn,d. It is shown that if a multivariate …

Persistent link: https://www.econbiz.de/10011039962

On the use of robust regression in econometrics

Baldauf, Markus; Santos Silva, J.M.C. - In: Economics Letters 114 (2012) 1, pp. 124-127

A particular robust regression estimator has gained popularity among applied econometricians. We show that this estimator is inconsistent for the parameters of the conditional mean when the errors are skewed and heteroskedastic, and conclude that therefore its use cannot be generally recommended.

Persistent link: https://www.econbiz.de/10010597179