Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

Research output: Working paper › Research

Standard

Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. / Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2019.

Research output: Working paper › Research

Harvard

Berenguer-Rico, V, Johansen, S & Nielsen, B 2019 'Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Berenguer-Rico, V., Johansen, S., & Nielsen, B. (2019). Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2019-12

CBE

Berenguer-Rico V, Johansen S, Nielsen B. 2019. Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Berenguer-Rico, Vanessa, Søren Johansen and Bent Nielsen Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2019-12). 2019., 22 p.

Vancouver

Berenguer-Rico V, Johansen S, Nielsen B. Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. Aarhus: Institut for Økonomi, Aarhus Universitet. 2019 Jun 13.

Author

Berenguer-Rico, Vanessa ; Johansen, Søren ; Nielsen, Bent. / Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. Aarhus : Institut for Økonomi, Aarhus Universitet, 2019. (CREATES Research Papers; No. 2019-12).

Bibtex

@techreport{ee225c09843b442bbfa437af69a3ee0d,

title = "Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals",

abstract = "A uniform weak consistency theory is presented for the marked and weighted empirical distribution function of residuals. New and weaker sufficient conditions for uniform consistency are derived. The theory allows for a wide variety of regressors and error distributions. We apply the theory to 1-step Huber-skip estimators. These estimators describe the widespread practice of removing outlying observations from an intial estimation of the model of interest and updating the estimation in a second step by applying least squares to the selected observations. Two results are presented. First, we give new and weaker conditions for consistency of the estimators. Second, we analyze the gauge, which is the rate of false detection of outliers, and which can be used to decide the cut-off in the rule for selecting outliers.",

keywords = "1-step Huber skip, Asymptotic theory, Empirical processes, Gauge, Marked and Weighted Empirical processes, Non-stationarity, Robust Statistics, Stationarity.",

author = "Vanessa Berenguer-Rico and S{\o}ren Johansen and Bent Nielsen",

year = "2019",

month = jun,

day = "13",

language = "English",

series = "CREATES Research Papers",

publisher = "Institut for {\O}konomi, Aarhus Universitet",

number = "2019-12",

type = "WorkingPaper",

institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

AU - Berenguer-Rico, Vanessa

AU - Johansen, Søren

AU - Nielsen, Bent

PY - 2019/6/13

Y1 - 2019/6/13

N2 - A uniform weak consistency theory is presented for the marked and weighted empirical distribution function of residuals. New and weaker sufficient conditions for uniform consistency are derived. The theory allows for a wide variety of regressors and error distributions. We apply the theory to 1-step Huber-skip estimators. These estimators describe the widespread practice of removing outlying observations from an intial estimation of the model of interest and updating the estimation in a second step by applying least squares to the selected observations. Two results are presented. First, we give new and weaker conditions for consistency of the estimators. Second, we analyze the gauge, which is the rate of false detection of outliers, and which can be used to decide the cut-off in the rule for selecting outliers.

AB - A uniform weak consistency theory is presented for the marked and weighted empirical distribution function of residuals. New and weaker sufficient conditions for uniform consistency are derived. The theory allows for a wide variety of regressors and error distributions. We apply the theory to 1-step Huber-skip estimators. These estimators describe the widespread practice of removing outlying observations from an intial estimation of the model of interest and updating the estimation in a second step by applying least squares to the selected observations. Two results are presented. First, we give new and weaker conditions for consistency of the estimators. Second, we analyze the gauge, which is the rate of false detection of outliers, and which can be used to decide the cut-off in the rule for selecting outliers.

KW - 1-step Huber skip, Asymptotic theory, Empirical processes, Gauge, Marked and Weighted Empirical processes, Non-stationarity, Robust Statistics, Stationarity.

M3 - Working paper

T3 - CREATES Research Papers

BT - Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -