TY - UNPB

T1 - Discussion of 'The Forward Search: Theory and Data Analysis' by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

AU - Johansen, Søren

AU - Nielsen, Bent

N1 - JEL Classification: C2

PY - 2010

Y1 - 2010

N2 - 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. The present note shows how the theory of empirical processes can contribute to the understanding of how the subsets are chosen and how the sequence of estimators is changing.

AB - 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. The present note shows how the theory of empirical processes can contribute to the understanding of how the subsets are chosen and how the sequence of estimators is changing.

KW - Faculty of Social Sciences

KW - empirical processes

KW - Huber's skip

KW - least trimmed squares estimator

KW - one-step estimator

KW - outlier robustness

M3 - Working paper

BT - Discussion of 'The Forward Search: Theory and Data Analysis' by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

PB - Department of Economics, University of Copenhagen

ER -