Which robust versions of sample variance and sample covariance are most appropriate for econometrics: Symmetry-based analysis

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...

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Main Authors: Sriboonchitta S., Batyrshin I., Kreinovich V.
Format: Journal
Published: 2017
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008422675&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/42573
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Institution: Chiang Mai University
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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
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