Robust scale estimation in the error‐components model using the empirical characteristic function

DOI10.2307/3315381zbMath0858.62026OpenAlexW2003876717MaRDI QIDQ4891288

Joel L. Horowitz, Marianthi Markatou

Publication date: 3 September 1996

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315381

zbMATH Keywords

consistencyasymptotic normalityMonte Carlocharacteristic functionscale parameterspanel data modelsrobust estimatorsresidualsaffine equivarianceempirical characteristic functionserror-components modelinfluence-function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear inference, regression (62J99) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (4)

Estimation of block sparsity in compressive sensing ⋮ Robust scale estimation based on the empirical characteristic function ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Applied regression analysis bibliography update 1994-97

Cites Work

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• t-REML for Robust Heteroscedastic Regression Analysis of Mitochondrial Power
• ROBUST TESTS BASED ON THE SAMPLE CHARACTERISTIC FUNCTION
• Asymptotic Properties of Non-Linear Least Squares Estimators

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