Robust covariance matrix estimation and identification of unusual data points: New tools
C Garciga, R Verbrugge - Research in Economics, 2021 - Elsevier
Most consistent estimators are prone to total breakdown in the presence of a handful of
unusual data points (UDPs). This compromises inference. Robust estimation is a (seldom …
unusual data points (UDPs). This compromises inference. Robust estimation is a (seldom …
A New Tool for Robust Estimation and Identification of Unusual Data Points
C Garciga, RJ Verbrugge - 2020 - clevelandfed.org
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 …
breakdown in the presence of a handful of unusual data points. This compromises inference …