Which robust versions of sample variance and sample covariance are most appropriate for econometrics: Symmetry-based analysis
© 2016 by the Mathematical Association of Thailand. All rights reserved. In many practical situations, we do not know the shape of the corresponding probability distributions and therefore, we need to use robust statistical techniques, i.e., techniques that are applicable to all possible distributio...
محفوظ في:
| المؤلفون الرئيسيون: | , , |
|---|---|
| التنسيق: | دورية |
| منشور في: |
2017
|
| الوصول للمادة أونلاين: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008422675&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42573 |
| الوسوم: |
إضافة وسم
لا توجد وسوم, كن أول من يضع وسما على هذه التسجيلة!
|
| المؤسسة: | Chiang Mai University |
| id |
th-cmuir.6653943832-42573 |
|---|---|
| record_format |
dspace |
| spelling |
th-cmuir.6653943832-425732017-09-28T04:27:52Z Which robust versions of sample variance and sample covariance are most appropriate for econometrics: Symmetry-based analysis Sriboonchitta S. Batyrshin I. Kreinovich V. © 2016 by the Mathematical Association of Thailand. All rights reserved. In many practical situations, we do not know the shape of the corresponding probability distributions and therefore, we need to use robust statistical techniques, i.e., techniques that are applicable to all possible distributions. Empirically, it turns out the the most efficient robust version of sample variance is the average value of the p-th powers of the deviations |x i - â|from the (estimated) mean â. In this paper, we use natural symmetries to provide a theoretical explanation for this empirical success, and to show how this optimal robust version of sample variance can be naturally extended to a robust version of sample covariance. 2017-09-28T04:27:52Z 2017-09-28T04:27:52Z 2016-01-01 Journal 16860209 2-s2.0-85008422675 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008422675&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42573 |
| institution |
Chiang Mai University |
| building |
Chiang Mai University Library |
| country |
Thailand |
| collection |
CMU Intellectual Repository |
| description |
© 2016 by the Mathematical Association of Thailand. All rights reserved. In many practical situations, we do not know the shape of the corresponding probability distributions and therefore, we need to use robust statistical techniques, i.e., techniques that are applicable to all possible distributions. Empirically, it turns out the the most efficient robust version of sample variance is the average value of the p-th powers of the deviations |x i - â|from the (estimated) mean â. In this paper, we use natural symmetries to provide a theoretical explanation for this empirical success, and to show how this optimal robust version of sample variance can be naturally extended to a robust version of sample covariance. |
| format |
Journal |
| author |
Sriboonchitta S. Batyrshin I. Kreinovich V. |
| spellingShingle |
Sriboonchitta S. Batyrshin I. Kreinovich V. Which robust versions of sample variance and sample covariance are most appropriate for econometrics: Symmetry-based analysis |
| author_facet |
Sriboonchitta S. Batyrshin I. Kreinovich V. |
| author_sort |
Sriboonchitta S. |
| title |
Which robust versions of sample variance and sample covariance are most appropriate for econometrics: Symmetry-based analysis |
| title_short |
Which robust versions of sample variance and sample covariance are most appropriate for econometrics: Symmetry-based analysis |
| title_full |
Which robust versions of sample variance and sample covariance are most appropriate for econometrics: Symmetry-based analysis |
| title_fullStr |
Which robust versions of sample variance and sample covariance are most appropriate for econometrics: Symmetry-based analysis |
| title_full_unstemmed |
Which robust versions of sample variance and sample covariance are most appropriate for econometrics: Symmetry-based analysis |
| title_sort |
which robust versions of sample variance and sample covariance are most appropriate for econometrics: symmetry-based analysis |
| publishDate |
2017 |
| url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008422675&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42573 |
| _version_ |
1681422215083458560 |