Search Results - subject:"m-estimators"

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

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

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

Factorisable sparse tail event curves with expectiles

Härdle, Wolfgang; Huang, Chen; Chao, Shih-Kang - 2016

Persistent link: https://www.econbiz.de/10011452923

Factorisable sparse tail event curves with expectiles

Härdle, Wolfgang Karl; Huang, Chen; Chao, Shih-Kang - 2016

Persistent link: https://www.econbiz.de/10011531894

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

A computational implementation of GMM

Gao, Jiti; Hong, Han - 2014

Persistent link: https://www.econbiz.de/10011780875

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

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

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

Persistent link: https://www.econbiz.de/10011031446