An extension of the Gauss-Newton algorithm for estimation under asymmetric loss

DOI10.1016/J.CSDA.2004.08.007zbMath1431.62081OpenAlexW2045471955MaRDI QIDQ959167

Matei Demetrescu

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.08.007

zbMATH Keywords

optimizationestimationsmoothingNewton-like methodloss functionforecastingiteratively reweighted least squares

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items (2)

ROC curves for regression ⋮ Joint forecasts of Dow Jones stocks under general multivariate loss function

Cites Work

• The iteratively reweighted estimating equation in minimum distance problems
• Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
• CALCULATION METHOD FOR NONLINEAR DYNAMIC LEAST-ABSOLUTE DEVIATIONS ESTIMATOR
• Prediction with a Generalized Cost of Error Function
• Robust Statistics
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