Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:RMVN 

Working Paper
A New Tool for Robust Estimation and Identification of Unusual Data Points

Most consistent estimators are what Müller (2007) terms “highly fragile”: prone to total breakdown in the presence of a handful of unusual data points. This compromises inference. Robust estimation is a (seldom-used) solution, but commonly used methods have drawbacks. In this paper, building on methods that are relatively unknown in economics, we provide a new tool for robust estimates of mean and covariance, useful both for robust estimation and for detection of unusual data points. It is relatively fast and useful for large data sets. Our performance testing indicates that our baseline ...
Working Papers , Paper 202008

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

C3 1 items

C4 1 items

C5 1 items

FILTER BY Keywords

RMVN 1 items

big data 1 items

detMCD 1 items

fragility 1 items

machine learning 1 items

outlier identification 1 items

show more (2)

PREVIOUS / NEXT