Nonparametric Least Absolute Deviations Estimation
Title | Nonparametric Least Absolute Deviations Estimation PDF eBook |
Author | Joon-Woo Nahm |
Publisher | |
Pages | 266 |
Release | 1989 |
Genre | |
ISBN |
Prediction and Nonparametric Estimation for Time Series with Heavy Tails
Title | Prediction and Nonparametric Estimation for Time Series with Heavy Tails PDF eBook |
Author | Peter Hall |
Publisher | |
Pages | 0 |
Release | 2004 |
Genre | |
ISBN |
Motivated by prediction problems for time series with heavy-tailed marginal distributions, we consider methods based on 'local least absolute deviations' for estimating a regression median from dependent data. Unlike more conventional 'local median' methods, which are in effect based on locally fitting a polynomial of degree 0, techniques founded on local least absolute deviations have quadratic bias right up to the boundary of the design interval. Also in contrast to local least-squares methods based on linear fits, the order of magnitude of variance does not depend on tail-weight of the error distribution. To make these points clear, we develop theory describing local applications to time series of both least-squares and least-absolute-deviations methods, showing for example that, in the case of heavy-tailed data, the conventional local-linear least-squares estimator suffers from an additional bias term as well as increased variance.
Nonparametric Expectile Regression and Testing
Title | Nonparametric Expectile Regression and Testing PDF eBook |
Author | Seoghoon Kang |
Publisher | |
Pages | 298 |
Release | 1991 |
Genre | |
ISBN |
Nonparametric and Parametric Estimation with Truncated Regression Data
Title | Nonparametric and Parametric Estimation with Truncated Regression Data PDF eBook |
Author | Kwok-Leung Tsui |
Publisher | |
Pages | 244 |
Release | 1986 |
Genre | |
ISBN |
The Least Absolute Deviations Estimators in Generalized Regression Models
Title | The Least Absolute Deviations Estimators in Generalized Regression Models PDF eBook |
Author | Kazumitsu Nawata |
Publisher | |
Pages | 20 |
Release | 1988 |
Genre | |
ISBN |
L1-statistical Procedures and Related Topics
Title | L1-statistical Procedures and Related Topics PDF eBook |
Author | Yadolah Dodge |
Publisher | IMS |
Pages | 550 |
Release | 1997 |
Genre | Mathematics |
ISBN | 9780940600430 |
Nonparametric and Semiparametric Methods in Econometrics and Statistics
Title | Nonparametric and Semiparametric Methods in Econometrics and Statistics PDF eBook |
Author | William A. Barnett |
Publisher | Cambridge University Press |
Pages | 512 |
Release | 1991-06-28 |
Genre | Business & Economics |
ISBN | 9780521424318 |
Papers from a 1988 symposium on the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data.