Asymptotics of Least Trimmed Squares Regression
نویسندگان
چکیده
منابع مشابه
Trimmed Least Squares
We consider two methods of defining a regression analogue to a trimmed mean. The first was suggested by Koenker and Bassett and uses their concept of regression quantiles. Its asymptotic behavior is completely analogous to that of a trimmed mean. The second method uses residuals from a preliminary estimator. Its asymptotic behavior depends heavily on the preliminary estimate; it behaves, in gen...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.606982