Robust Spectral Regression
Samarov, Alexander M.
Ann. Statist., Tome 15 (1987) no. 1, p. 99-111 / Harvested from Project Euclid
This paper addresses the problem of linear regression estimation when the disturbances follow a stationary process with its spectral density known only to be in a neighborhood of some specified spectral density, for instance, that of white noise. Rather than trying to adapt to a small unspecified autocorrelation, we follow here the robustness approach, and establish the extent of the regressors and disturbance spectra interaction which require serial correlation correction. We consider a class of generalized least-squares estimates, and find the estimator in this class which optimally robustifies the least-squares estimator against serial correlation. The estimator, when considered in the frequency domain, is of a form of weighted least squares with the most prominent frequencies of the regression spectrum being downweighted in a way similar to Huber's robust regression estimator.
Publié le : 1987-03-14
Classification:  Serial correlation,  regression spectrum,  efficiency robustness,  minimax robustness,  generalized least squares,  62J02,  62F35,  62M10,  62M15
@article{1176350255,
     author = {Samarov, Alexander M.},
     title = {Robust Spectral Regression},
     journal = {Ann. Statist.},
     volume = {15},
     number = {1},
     year = {1987},
     pages = { 99-111},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176350255}
}
Samarov, Alexander M. Robust Spectral Regression. Ann. Statist., Tome 15 (1987) no. 1, pp.  99-111. http://gdmltest.u-ga.fr/item/1176350255/