Robust estimation of the vector autoregressive model by a trimmed least squares procedure. [PDF]
The vector autoregressive model is very popular for modeling multiple time series. Estimation of its parameters is done by a least squares procedure. However, this estimation method is unreliable when outliers are present in the data, and there is a need
Croux, Christophe, Joossens, Kristel
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Robust variable screening for regression using factor profiling
, 2018 Sure Independence Screening is a fast procedure for variable selection in ultra-high dimensional regression analysis. Unfortunately, its performance greatly deteriorates with increasing dependence among the predictors.
Van Aelst, Stefan, Wang, Yixin
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The multivariate least trimmed squares estimator
, 2002 In this paper we introduce the least trimmed squares estimator for multivariate regression. We give three equivalent formulations of the estimator and obtain its breakdown point. A fast algorithm for its computation is proposed. We prove Fisher-consistency at the multivariate regression model with elliptically symmetric error distribution and derive ...
Agullo, J. +2 more
openaire +1 more source
Regional Convergence and Catch-up in India between 1960 and 1992 [PDF]
This paper examines the evidence for regional convergence or catch-up in levels and growth rates of per capita income among the 16 major states in India between 1960 and 1992.
Kamakshya Trivedi
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Does Free Trade Really Reduce Growth? Further Testing Using the Economic Freedom Index [PDF]
While studies of the relationship between economic freedom and economic growth have shown it to be positive, significant and robust, it has rightly been argued that different areas of economic freedom may have quite different effects on growth.
Berggren, Niclas, Jordahl, Henrik
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Trust and Growth: A Shaky Relationship [PDF]
We conduct an extensive robustness analysis of the relationship between trust and growth by investigating a later time period and a bigger sample than in previous studies.
Berggren, Niclas +2 more
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Evolutionary algorithms for robust methods [PDF]
, 2008 A drawback of robust statistical techniques is the increased computational effort often needed compared to non robust methods. Robust estimators possessing the exact fit property, for example, are NP-hard to compute.
Morell, Oliver, Nunkesser, Robin
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Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli [PDF]
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.
Bent Nielsen, Søren Johansen
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The explaining role of the Earning-Price Ratio in the Spanish Stock Market [PDF]
In this paper we study the suitability of the CAPM to the Spanish Stock Market Interconnection System (SIBE) for the period 1988-2000, by means of time series and cross-section multivariate tests.
Javier DePeña, Luis A. Gil-Alana
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A Study of Forecasting of Exchange Rates Using Non Robust and Robust Estimators [PDF]
, 2011 Presence of outliers in exchange rates data is a common feature. In the present study we have tried to construct forecasting models for two exchange rates, that are less sensitive to data contamination by outliers through the Robust estimation techniques
Janhavi, Suresh, R.
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