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Weak consistency and weak square root n-consistency of the ridge least weighted squares

Publikace na Matematicko-fyzikální fakulta |
2011

Tento text není v aktuálním jazyce dostupný. Zobrazuje se verze "en".Abstrakt

The regression method ridge least weighted squares (RLWS) was presented in [4] as a method which can handle multicollinearity as well as contamination simultaneously. This estimator combines the principles of the ridge regression and the least weighted squares (LWS) proposed in [10].

The normal equations for LWS and RLWS do not differ so much, thus we can use profitably the results of LWS consistency already presented in [12] and [13]. Therefore, it is possible to prove weak consistency and also weak square root n-consistency of RLWS in spite of the fact that the RLWS estimate is biased.

All results are proven under heteroscedasticity