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

Søren Johansen; Bent Nielsen

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

Department of Economics

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Abstract

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.

Original language	English
Publisher	Department of Economics, University of Copenhagen
Number of pages	13
Publication status	Published - 2010

Keywords

Faculty of Social Sciences
empirical processes
Huber's skip
least trimmed squares estimator
one-step estimator
outlier robustness

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abstract = "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.",

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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.

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KW - empirical processes

KW - Huber's skip

KW - least trimmed squares estimator

KW - one-step estimator

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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

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

Abstract

Keywords

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