Research output: Working paper/Preprint › Working paper › Research
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/Preprint › Working paper › Research
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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 -