The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals
Publikation: Working paper › Forskning
Standard
The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals. / Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent.
2019.Publikation: Working paper › Forskning
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - UNPB
T1 - The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals
AU - Berenguer-Rico, Vanessa
AU - Johansen, Søren
AU - Nielsen, Bent
PY - 2019/5/28
Y1 - 2019/5/28
N2 - An extended and improved theory is presented for marked and weighted empirical processes of residuals of time series regressions. The theory is motivated by 1-step Huber-skip estimators, where a set of good observations are selected using an initial estimator and an updated estimator is found by applying least squares to the selected observations. In this case, the weights and marks represent powers of the regressors and the regression errors, respectively. The inclusion of marks is a non-trivial extention to previous theory and requires refined martingale arguments.
AB - An extended and improved theory is presented for marked and weighted empirical processes of residuals of time series regressions. The theory is motivated by 1-step Huber-skip estimators, where a set of good observations are selected using an initial estimator and an updated estimator is found by applying least squares to the selected observations. In this case, the weights and marks represent powers of the regressors and the regression errors, respectively. The inclusion of marks is a non-trivial extention to previous theory and requires refined martingale arguments.
KW - 1-Step Huber-Skip; Non-Stationarity; Robust Statistics; Stationarity
KW - 1-Step Huber-Skip
KW - Non-Stationarity
KW - Robust Statistics
KW - Stationarity
KW - C130
U2 - 10.2139/ssrn.3380967
DO - 10.2139/ssrn.3380967
M3 - Working paper
T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)
BT - The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals
ER -
ID: 248549982