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Showing 1 to 3 of 3 for “"scale estimator"”.
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Contributions to Robust Methods: Modified Rank Covariance Matrix and Spatial-EM Algorithm
… them, the spatial rank based covariance matrix estimator that utilizes a robust scale estimator (MRCM) is especially appealing due to its high robustness, computational ease and good efficiency. In this dissertation, properties of the estimator on orthogonal equivariance under any distribution …
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Robust, location-free scale estimators for the linear regression and k-sample models
In the last few years, estimators of the scale of a univariate distribution have been developed that are location-free in the sense that they do not depend on an estimate of the center of the underlying distribution. These proposed location-free estimators have generally been quite robust in terms …
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Essays on Financial Econometrics
… George</p><p>Tauchen, develops an ecient mixed-scale estimator for jump regressions using highfrequency</p><p>asset returns. A novel bootstrap procedure is proposed to make inference</p><p>about our estimator, which has a non-standard asymptotic distribution that cannot</p><p>be made …