Discussion of 'The Forward Search: Theory and Data Analysis' by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli
Research output: Working paper › Research
Standard
Discussion of 'The Forward Search: Theory and Data Analysis' by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli. / Johansen, Søren; Nielsen, Bent.
Department of Economics, University of Copenhagen, 2010.Research output: Working paper › Research
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - UNPB
T1 - Discussion of 'The Forward Search: Theory and Data Analysis' by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli
AU - Johansen, Søren
AU - Nielsen, Bent
N1 - JEL Classification: C2
PY - 2010
Y1 - 2010
N2 - The Forward Search Algorithm is a statistical algorithm for obtaining robust estimators of regression coefficients in the presence of outliers. The algorithm selects a succession of subsets of observations from which the parameters are estimated. The present note shows how the theory of empirical processes can contribute to the understanding of how the subsets are chosen and how the sequence of estimators is changing.
AB - The Forward Search Algorithm is a statistical algorithm for obtaining robust estimators of regression coefficients in the presence of outliers. The algorithm selects a succession of subsets of observations from which the parameters are estimated. The present note shows how the theory of empirical processes can contribute to the understanding of how the subsets are chosen and how the sequence of estimators is changing.
KW - Faculty of Social Sciences
KW - empirical processes
KW - Huber's skip
KW - least trimmed squares estimator
KW - one-step estimator
KW - outlier robustness
M3 - Working paper
BT - Discussion of 'The Forward Search: Theory and Data Analysis' by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli
PB - Department of Economics, University of Copenhagen
ER -
ID: 17556279