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  • Search: subject:"M–Estimators"
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Year of publication
Subject
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M-estimators 13 iteration 7 influence function 5 Estimation theory 4 Huber-skip 4 Schätztheorie 4 one-step M-estimators 4 unit roots 4 1-step Huber-skip M-estimators 3 Forward Search 3 Huber-skip M-estimators 3 Impulse Indicator Saturation 3 gauge 3 iterated martingale inequality 3 EM algorithm 2 Induktive Statistik 2 Monte Carlo 2 Monte Carlo Markov Chain methods 2 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Nonparametric Regressions 2 Robust inference 2 Robust statistics 2 Robust variable selection 2 Robustes Verfahren 2 Robusti?ed Least Squares 2 Saddlepoint techniques 2 Statistical distribution 2 Statistical inference 2 Statistische Verteilung 2 bootstrap for M-estimators 2 expectile regression 2 fMRI 2 factor analysis 2 fixed-width confidence intervals 2 high-dimensional M-estimators 2 indirect inference 2 multivariate functional data 2 nuclear norm regularizer 2 risk perception 2
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Online availability
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Free 27
Type of publication
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Book / Working Paper 25 Article 2
Type of publication (narrower categories)
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Working Paper 6 Arbeitspapier 4 Graue Literatur 3 Non-commercial literature 3 Article 1
Language
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English 14 Undetermined 13
Author
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Johansen, Søren 7 Nielsen, Bent 7 Ronchetti, Elvezio 5 Victoria-Feser, Maria-Pia 3 Chao, Shih-Kang 2 Czellar, Veronika 2 Gao, Jiti 2 Hong, Han 2 Huang, Chen 2 Bravo, F 1 Cowell, Frank A 1 Crudu, F. 1 Esteban-Bravo, Mercedes 1 Hlávka, Zdenéek 1 Hlávka, Zdeněk 1 Härdle, Wolfgang 1 Härdle, Wolfgang Karl 1 Lo, Serigne N. 1 Lô, Serigne N. 1 Mancini, Loriano 1 Olley, Steven 1 PATILEA, Valentin 1 Pakes, Ariel 1 RENAULT, Eric 1 Subbotin, Viktor 1 Trojani, Fabio 1 Vidal-Sanz, Jose M. 1
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Institution
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Institut d'Economie et Econométrie, Université de Genève 3 School of Economics and Management, University of Aarhus 2 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 2 Økonomisk Institut, Københavns Universitet 2 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Centro Ricerche Nord Sud (CRENoS) 1 Cowles Foundation for Research in Economics, Yale University 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics and Related Studies, University of York 1 Economics Group, Nuffield College, University of Oxford 1 London School of Economics (LSE) 1 Society for Computational Economics - SCE 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 3 CREATES Research Papers 2 Cahiers du Département d'Econométrie 2 Discussion Papers / Økonomisk Institut, Københavns Universitet 2 Econometrics 2 STICERD - Distributional Analysis Research Programme Papers 2 CORE Discussion Papers 1 Computing in Economics and Finance 2005 1 Cowles Foundation Discussion Papers 1 Discussion Papers / Department of Economics and Related Studies, University of York 1 Economics Papers / Economics Group, Nuffield College, University of Oxford 1 LSE Research Online Documents on Economics 1 MPRA Paper 1 Monash Econometrics and Business Statistics Working Papers 1 SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1 SFB 649 Discussion Paper 1 SFB 649 discussion paper 1 Working Paper CRENoS 1 Working paper / Department of Econometrics and Business Statistics, Monash University 1
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Source
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RePEc 20 ECONIS (ZBW) 4 EconStor 3
Showing 1 - 10 of 27
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Outlier detection algorithms for least squares time series regression
Johansen, Søren; Nielsen, Bent - Economics Group, Nuffield College, University of Oxford - 2014
-skip M-estimators, in particular the Impulse Indicator Saturation, iterated 1-step Huber-skip M-estimators and the Forward …
Persistent link: https://www.econbiz.de/10010892342
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Optimal hedging with the cointegrated vector autoregressive model
Johansen, Søren; Nielsen, Bent - Økonomisk Institut, Københavns Universitet - 2014
-skip M-estimators, in particular the Impulse Indicator Saturation, iterated 1-step Huber-skip M-estimators and the Forward …
Persistent link: https://www.econbiz.de/10010937950
Saved in:
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Outlier detection algorithms for least squares time series regression
Johansen, Søren; Nielsen, Bent - School of Economics and Management, University of Aarhus - 2014
-skip M-estimators, in particular the Impulse Indicator Saturation, iterated 1-step Huber-skip M-estimators and the Forward …
Persistent link: https://www.econbiz.de/10010940884
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Factorisable sparse tail event curves with expectiles
Härdle, Wolfgang Karl; Huang, Chen; Chao, Shih-Kang - 2016
Persistent link: https://www.econbiz.de/10011531894
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Factorisable sparse tail event curves with expectiles
Härdle, Wolfgang; Huang, Chen; Chao, Shih-Kang - 2016
Persistent link: https://www.econbiz.de/10011452923
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Effcient M-estimators with auxiliary information
Bravo, F - Department of Economics and Related Studies, University … - 2008
This paper introduces a new class of M-estimators based on generalised empirical likelihood estimation with some … information. The results of the paper are quite general and apply to M-estimators defined by both smooth and nonsmooth estimating … than standard M-estimators within China. …
Persistent link: https://www.econbiz.de/10005129629
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A Computational Implementation of GMM
Gao, Jiti; Hong, Han - Department of Econometrics and Business Statistics, … - 2014
complement to the classical M-estimators and to MCMC methods, and can be applied to both likelihood based models and method of …
Persistent link: https://www.econbiz.de/10011093867
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A computational implementation of GMM
Gao, Jiti; Hong, Han - 2014
Persistent link: https://www.econbiz.de/10011780875
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Outlier detection in regression using an iterated one-step approximation to the huber-skip estimator
Johansen, Søren; Nielsen, Bent - In: Econometrics 1 (2013) 1, pp. 53-70
In regression we can delete outliers based upon a preliminary estimator and re-estimate the parameters by least squares based upon the retained observations. We study the properties of an iteratively defined sequence of estimators based on this idea. We relate the sequence to the Huber-skip...
Persistent link: https://www.econbiz.de/10010421308
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Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator
Johansen, Søren; Nielsen, Bent - In: Econometrics 1 (2013) 1, pp. 53-70
In regression we can delete outliers based upon a preliminary estimator and re-estimate the parameters by least squares based upon the retained observations. We study the properties of an iteratively defined sequence of estimators based on this idea. We relate the sequence to the Huber-skip...
Persistent link: https://www.econbiz.de/10011031446
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