Search Results - subject:"variance estimator"

A Simple Variance Estimator for Unequal Probability Sampling without Replacement

Berger, Yves - In: Journal of Applied Statistics 31 (2004) 3, pp. 305-315

Survey sampling textbooks often refer to the Sen-Yates-Grundy variance estimator for use with without … replacement variance estimator; which often leads to overestimation of the variance for large sampling fractions that are common … in business surveys. We will consider an alternative estimator: the Hajek (1964) variance estimator that depends on the …

Persistent link: https://www.econbiz.de/10005495258

Robust adaptive estimation of dimension reduction space

Čížek, Pavel; Härdle, Wolfgang - 2003

Most dimension reduction methods based on nonparametric smoothing are highly sensitive to outliers and to data coming from heavy tailed distributions. We show that the recently proposed MAVE and OPG methods by Xia et al. (2002) allow us to make them robust in a relatively straightforward way...

Persistent link: https://www.econbiz.de/10010296438

Robust adaptive estimation of dimension reduction space

Čížek, Pavel; Härdle, Wolfgang - Sonderforschungsbereich 373, Quantifikation und … - 2003

Persistent link: https://www.econbiz.de/10010983843

Design-Based Treatment of Unit Nonresponse by the Calibration Approach

Fattorini, Lorenzo; Franceschi, Sara; Maffei, Daniela - Dipartimento di Economia Politica e Statistics, … - 2011

The use of nonresponse calibration weighting is considered in a complete design-based frameworkto account for the cases in which nonresponse is a fixed characteristic of the units, just like the interest variable. Approximate expressions of design-based bias and variance of the calibration...

Persistent link: https://www.econbiz.de/10009147316

The robust variance estimator for two-stage models

Hardin, James W. - In: Stata Journal 2 (2002) 3, pp. 253-266

This article discusses estimates of variance for two-stage models. We present the sandwich estimate of variance as an alternative to the Murphy-Topel estimate. The sandwich estimator has a simple formula that is similar to the formula for the Murphy ÐTopel estimator,and the two estimators are...

Persistent link: https://www.econbiz.de/10005568851

Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted

Ohtani, Kazuhiro; Wan, Alan - In: Statistical Papers 50 (2009) 1, pp. 151-160

Persistent link: https://www.econbiz.de/10005391186

Numerical approximation of conditional asymptotic variances using Monte Carlo simulation

Mak, Tak; Nebebe, Fassil - In: Computational Statistics 24 (2009) 2, pp. 333-344

Persistent link: https://www.econbiz.de/10004999513

Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - Finance Research Centre, Oxford University - 2008

We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement noise of certain types and can also handle non-synchronous trading. It is the first estimator...

Persistent link: https://www.econbiz.de/10005212102

Subsampling realised kernels

Barndorff-Nielsen, Ole E.; Hansen, Peter R.; Lunde, Asger; … - Finance Research Centre, Oxford University - 2006

In a recent paper we have introduced the class of realised kernel estimators of the increments of quadratic variation in the presence of noise. We showed that this estimator is consistent and derived its limit distribution under various assumptions on the kernel weights. In this paper we extend...

Persistent link: https://www.econbiz.de/10005227064

Asymptotic equivalence of the jackknife and infinitesimal jackknife variance estimators for some smooth statistics

Gottlieb, Alex - In: Annals of the Institute of Statistical Mathematics 55 (2003) 3, pp. 555-561

Persistent link: https://www.econbiz.de/10005760311