Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/55981
Title: Which robust versions of sample variance and sample covariance are most appropriate for econometrics: Symmetry-based analysis
Authors: Songsak Sriboonchitta
Ildar Batyrshin
Vladik Kreinovich
Keywords: Mathematics
Issue Date: 1-Jan-2016
Abstract: © 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 |xi- 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.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008422675&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55981
ISSN: 16860209
Appears in Collections:CMUL: Journal Articles

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