Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

Publikation: Working paperForskning

Standard

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

2019.

Publikation: Working paperForskning

Harvard

Berenguer-Rico, V, Johansen, S & Nielsen, B 2019 'Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals'. https://doi.org/10.2139/ssrn.3400724

APA

Berenguer-Rico, V., Johansen, S., & Nielsen, B. (2019). Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. University of Copenhagen. Institute of Economics. Discussion Papers (Online) Nr. 19-09 https://doi.org/10.2139/ssrn.3400724

Vancouver

Berenguer-Rico V, Johansen S, Nielsen B. Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. 2019 jun. 18. https://doi.org/10.2139/ssrn.3400724

Author

Berenguer-Rico, Vanessa ; Johansen, Søren ; Nielsen, Bent. / Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. 2019. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 19-09).

Bibtex

@techreport{7f5fcb10a1f341b6bcc65b9494273f1d,
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 initial 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 = "Huber skip, Asymptotic theory, Empirical processes, Gauge, Marked and Weighted Empirical processes, Non-stationarity, Robust Statistics, Stationarity, Huber skip, Asymptotic theory, Empirical processes, Gauge, Marked and Weighted Empirical processes, Non-stationarity, Robust Statistics, Stationarity, C01, C22",
author = "Vanessa Berenguer-Rico and S{\o}ren Johansen and Bent Nielsen",
year = "2019",
month = jun,
day = "18",
doi = "10.2139/ssrn.3400724",
language = "English",
series = "University of Copenhagen. Institute of Economics. Discussion Papers (Online)",
number = "19-09",
type = "WorkingPaper",

}

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 - 2019/6/18

Y1 - 2019/6/18

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 initial 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 initial 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 - Huber skip

KW - Asymptotic theory

KW - Empirical processes

KW - Gauge

KW - Marked and Weighted Empirical processes

KW - Non-stationarity

KW - Robust Statistics

KW - Stationarity

KW - Huber skip

KW - Asymptotic theory

KW - Empirical processes

KW - Gauge

KW - Marked and Weighted Empirical processes

KW - Non-stationarity

KW - Robust Statistics

KW - Stationarity

KW - C01

KW - C22

U2 - 10.2139/ssrn.3400724

DO - 10.2139/ssrn.3400724

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)

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

ER -

ID: 248551209