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Robust weighted LAD regression

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  • Giloni, Avi
  • Simonoff, Jeffrey S.
  • Sengupta, Bhaskar

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  • Giloni, Avi & Simonoff, Jeffrey S. & Sengupta, Bhaskar, 2006. "Robust weighted LAD regression," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3124-3140, July.
    • Handle: RePEc:eee:csdana:v:50:y:2006:i:11:p:3124-3140
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    1. William F. Sharpe, 1971. "Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios," Management Science, INFORMS, vol. 18(2), pages 1-13, October.
    2. Dielman, Terry E. & Rose, Elizabeth L., 1995. "A bootstrap approach to hypothesis testing in least absolute value regression," Computational Statistics & Data Analysis, Elsevier, vol. 20(2), pages 119-130, August.
    3. Dielman, Terry E. & Pfaffenberger, Roger C., 1992. "A further comparison of tests of hypotheses in LAV regression," Computational Statistics & Data Analysis, Elsevier, vol. 14(3), pages 375-384, October.
    4. Billor, Nedret & Hadi, Ali S. & Velleman, Paul F., 2000. "BACON: blocked adaptive computationally efficient outlier nominators," Computational Statistics & Data Analysis, Elsevier, vol. 34(3), pages 279-298, September.
    5. He, Xuming, et al, 1990. "Tail Behavior of Regression Estimators and Their Breakdown Points," Econometrica, Econometric Society, vol. 58(5), pages 1195-1214, September.
    6. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    7. Rousseeuw, Peter J. & van Zomeren, Bert C., 1992. "A comparison of some quick algorithms for robust regression," Computational Statistics & Data Analysis, Elsevier, vol. 14(1), pages 107-116, June.
    8. Dielman, Terry E. & Rose, Elizabeth L., 1996. "A note on hypothesis testing in LAV multiple regression: A small sample comparison," Computational Statistics & Data Analysis, Elsevier, vol. 21(4), pages 463-470, April.
    9. Koenker, Roger, 2000. "Galton, Edgeworth, Frisch, and prospects for quantile regression in econometrics," Journal of Econometrics, Elsevier, vol. 95(2), pages 347-374, April.
    10. Sheather, Simon J. & McKean, Joseph W., 1987. "A comparison of testing and confidence interval methods for the median," Statistics & Probability Letters, Elsevier, vol. 6(1), pages 31-36, September.
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    Cited by:

    1. Vasco Molini & Michiel Keyzer & Bart van den Boom & Wouter Zant & Nicholas Nsowah-Nuamah, 2010. "Safety Nets and Index-Based Insurance: Historical Assessment and Semiparametric Simulation for Northern Ghana," Economic Development and Cultural Change, University of Chicago Press, vol. 58(4), pages 671-712, July.
    2. Neykov, N.M. & Čížek, P. & Filzmoser, P. & Neytchev, P.N., 2012. "The least trimmed quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1757-1770.
    3. Blanc, Sebastian M. & Setzer, Thomas, 2015. "Analytical debiasing of corporate cash flow forecasts," European Journal of Operational Research, Elsevier, vol. 243(3), pages 1004-1015.
    4. Salvador Flores, 2015. "Sharp non-asymptotic performance bounds for $$\ell _1$$ ℓ 1 and Huber robust regression estimators," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(4), pages 796-812, December.
    5. Arslan, Olcay, 2012. "Weighted LAD-LASSO method for robust parameter estimation and variable selection in regression," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1952-1965.
    6. Vinciotti Veronica & Yu Keming, 2009. "M-quantile Regression Analysis of Temporal Gene Expression Data," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 8(1), pages 1-22, September.
    7. Marilena Furno, 2010. "A robust test of specification based on order statistics," Computational Statistics, Springer, vol. 25(4), pages 707-723, December.
    8. Cheng, Tsung-Chi, 2012. "On simultaneously identifying outliers and heteroscedasticity without specific form," Computational Statistics & Data Analysis, Elsevier, vol. 56(7), pages 2258-2272.
    9. Neil Shephard, 2020. "An estimator for predictive regression: reliable inference for financial economics," Papers 2008.06130, arXiv.org.
    10. Alex Coad & Jaganaddha Tamvada, 2012. "Firm growth and barriers to growth among small firms in India," Small Business Economics, Springer, vol. 39(2), pages 383-400, September.

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