Search Results - subject:"M–Estimators"

Arcones, Miguel A. - In: Statistics & Probability Letters 38 (1998) 4, pp. 311-321

approximate M-estimator is asymptotically normal with rate n1/2. Our results apply to common M-estimators such as the least …

Persistent link: https://www.econbiz.de/10005138135

Choosing Between Two Income Distribution Models with Contaminated Data

Victoria-Feser, Maria-Pia - Suntory and Toyota International Centres for Economics … - 1996

Choosing between two income distribution models typically involves testing two non-tested hypotheses, that is hypotheses such that one cannot be obtained as a special or limiting case of the other. Cox (1961, 1962) proposed a classical testing procedure based on the comparison of the maximised...

Persistent link: https://www.econbiz.de/10005797452

Robust Estimation of Income Distribution Models with Grouped Data

Ronchetti, Elvezio; Victoria-Feser, Maria-Pia - Suntory and Toyota International Centres for Economics … - 1996

An important aspect of income distribution is the modelling of the data using an appropriate parametric model. This involves estimating the parameters of the models, given the data at hand. Income data are typically in grouped form. Moreover, they are not always reliable in that they may contain...

Persistent link: https://www.econbiz.de/10005797458

Combining Forecasts Using Constrained M-Estimators

Augilar, Lucia; Rubio, Asunción; Víšek, Jan - In: Bulletin of the Czech Econometric Society 3 (1996)

regression model. Here the result is generalized for the M -estimators of the regression model. In order to achieve this an … asymptotic representation of the M -estimators is used. …

Persistent link: https://www.econbiz.de/10008473453

Modelling Income Distribution in Spain: A Robust Parametric Approach

Alaiz, Mercedes Prieto; Victoria-Feser, Maria-Pia - Suntory and Toyota International Centres for Economics … - 1996

This paper presents a robust estimation of two income distribution models using Spanish data for the period 1990-91 under three different concepts of income. The effect on the estimates of the Theil index due to the choice of the definition of income and of the estimation method is also analysed.

Persistent link: https://www.econbiz.de/10005670755

Asymptotic normality of multivariate trimmed means

Arcones, Miguel A. - In: Statistics & Probability Letters 25 (1995) 1, pp. 43-53

We prove the asymptotic normality of the trimmed mean, obtained by deleting the data which is further away from a parameter of location [theta]n. To get this trimmed mean, equivariant by rotations, dilations and translations, we choose [theta]n in a class of multivariate parameters of location,...

Persistent link: https://www.econbiz.de/10005254919

Over- And Underfitting The M-Estimates

Víšek, Jan - In: Bulletin of the Czech Econometric Society 7 (2000)

The effects of over- and underfitting the regression model is studied for M-estimators. Applying nowadays already … classic tool, namely the asymptotic linearity of M-statistics, the Bahadur representation of M-estimators in over- and … M-estimators evaluated in the properly fitted model, are equivalent. A part of the conditions is of the same character …

Persistent link: https://www.econbiz.de/10008473451

Asymptotic results in robust quasi-bayesian estimation

Ritov, Ya'acov - In: Journal of Multivariate Analysis 23 (1987) 2, pp. 290-302

Let [Theta] be a real random variable with a known (a priori) distribution. Let the observations given [Theta] be iid with a common distributionF0(Â·)=F(Â·-0)F is known to belong to some family of distributions on the real line. We find estimators of [Theta] which are asymptotically minimax...

Persistent link: https://www.econbiz.de/10005160489