Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| S-odhadzovač pro robustní regresi× | Regrese metodou ordinárních nejmenších čtverců (OLS)× | Odhadovač Tau (τ) pro regresi× | |
|---|---|---|---|
| Obor≠ | Statistika | Ekonometrie | Statistika |
| Rodina | Regression model | Regression model | Regression model |
| Rok vzniku≠ | 1984 | 2019 | 1988 |
| Tvůrce≠ | Rousseeuw & Yohai (1984) | Wooldridge (textbook treatment); classical least squares | Yohai & Zamar |
| Typ≠ | Robust linear regression | Linear regression | Robust linear regression |
| Původní zdroj≠ | Rousseeuw, P. J. & Yohai, V. J. (1984). Robust Regression by Means of S-Estimators. In Robust and Nonlinear Time Series Analysis (Lecture Notes in Statistics, Vol. 26, pp. 256-272). Springer. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 | Yohai, V. J., & Zamar, R. H. (1988). High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient Scale. Journal of the American Statistical Association, 83(402), 406-413. DOI ↗ |
| Další názvy≠ | S-estimation, robust S-regression, S-Tahmin Edici | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu | tau regression estimator, robust tau regression, Tau-Tahmin Edici |
| Příbuzné≠ | 5 | 5 | 4 |
| Shrnutí≠ | The S-estimator is a robust linear-regression method, introduced by Rousseeuw and Yohai in 1984, that estimates the coefficients by minimising a robust M-estimate of the residual scale rather than the variance of the residuals. By driving down a bounded measure of residual spread it can attain a breakdown point of up to 50%, so it stays reliable even when a large share of the data are outliers, and it provides the first stage of the well-known MM-estimator. | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). | The Tau estimator is a robust linear regression method introduced by Yohai and Zamar in 1988 that fits the model by minimising an efficient τ-scale of the residuals. It builds on the scale estimate of the S-estimator to combine a high breakdown point with high statistical efficiency, and is often used as an alternative to the MM-estimator in small samples. |
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