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Journal Article

The least weighted squares I. The asymptotic linearity of normal equations

Víšek Jan Ámos

: Bulletin of the Czech Econometric Society vol.9, 15 (2002), p. 31-58

: CEZ:AV0Z1075907

: 255/2002/A EK /FSV, GA UK, KSK1019101, GA AV ČR

: the least weighted squares, robust regression, asymptotic normality and representation

(eng): For the least weighted squares we show that normal equations may be asymptotically approximated by a form which is linear in regression parameters. The proof employs Skorohod embedding into Wiener process. The asymptotic linearity of the normal equations allows (it is done in the part II) to derive asymptotic representation of the estimator and its asymptotic normality.

: 12A

: BA

07.01.2019 - 08:39