Non-traditional view on the regression analysis as a tool for model building as well as a tool of structure analysis of data, alternative methods (to OLS and ML) of estimation and for them modified classical diagnostic tools for specification of model, historical roots and philosophical consequences.
Cíl předmětu - angličtina
Poslední úprava: VISEK (07.01.2015)
To enlarge the theoretical knowledge of regression analysis over its classical framework of (statistical or econometric) explanation. Moreover, to allow the students to look over the horizon of usual mathematically exactly constructed approach of formalized modelling, i.e. to offer an insight into such aspects ofmathematical, formalized description of universe which we can meet neither in the statistical nor the econometric texts. The content of the course can be decently accommodated to the topics of study and of interest of the attendants.
Podmínky zakončení předmětu - angličtina
Poslední úprava: VISEK (07.01.2015)
1) To pass the seminar with elaborating some homeworks.
2) Defending some small project in groups of several people,
e.g. some case study on an interesting material with employment of, may be of self made (?), software (in MatLab or R or ...) .
Literatura - angličtina
Poslední úprava: VISEK (07.01.2015)
Literature:
Atkinson, A.C., M. Riani (2002) : Exploring Multivariate Data with the Forward Search. Springer.
Chatterjee, S., Hadi, A. S. (1988): Sensitivity Analysis in Linear Regression. New York: J. Wiley and Sons.
Dutter,R., P. Filzmoser, P. J. Rousseeuw (2003) : Development in Robust Statistics. Springer.
Hampel, F. R., E. M. Ronchetti, P. J. Rousseeuw, W. A. Stahel (1986): Robust Statistics -- The Approach Based on Influence Functions. New York 1986, J.Wiley and Son.
Huber, P.J.(1981): Robust Statistics. New York: J.Wiley and Sons.
Judge, G. G., Griffiths, W. E., Hill, R. C., Lutkepohl, H., Lee, T. C. (1985): The Theory and Practice of Econometrics. New York 1985, J.Wiley and Sons (second edition).
Rousseeuw, P. J., A. M. Leroy (1987): Robust Regression and Outlier Detection. New York 1987, J.Wiley and Sons.
Štěpán, J. (1987): Teorie pravděpodobnosti. Praha 1987 Academia.
Zvára, K. (1989): Regresní analýza. Praha 1989, Academia.
Metody výuky - angličtina
Poslední úprava: VISEK (07.01.2015)
13 lectures and seminars
Sylabus - angličtina
Poslední úprava: VISEK (17.02.2015)
Robust statistics and ekonometrics as a complement to the classical methods. Inspirations for robust approach - differences with respect to the classical approach.
Main problems and main goals of robust statistics and econometrics. Proposals by Peter Huber versus an approach by Frank Hampel - the global versus the local approach, Prokhorov versus Kolmogorov-Smirnov metric, examples of convergence of sequences of d.f.‘s.
Classical and newly proposed characteristics of point estimators the gross-error and the local-shift sensitivity, the rejection and the breakdown point .
Specifications of these characteristics for the basic statistical and econometric tasks - the location and the scale parameter, the regression model. Role of invariance and equivariance in the (robust) point estimation.
The most frequent families of robust estimators - M, L, R, the minimal distance and the minimal volume estimators, etc.
Historical survey: from to over the regression quantiles to Looking for the algorithm, its implementation and verification - patterns of processing the data, sequential estimation of contamination level by means of LTS, forward search.
From the minimization of median of the squared residuals and of the least trimmed squares to the least weighted squares.
Proving methods - Skorohod imbedding into the Wiener process, generalization of Kolmogorov-Smirnov results about the uniform convergence of empirical d.f.’s to the theoretical ("underlying") d.f. in the regression framework.
Problems with the high breakdown point - the large sensitivity to the deletion/inclusion of one observation and to a shift of inliers. Solution of this problem by the least weighted squares.
Robustification of alternative methods (alternative to the ordinary least squares or the maximum likelihood) as the instrumental variables, orthogonal or ridge regression.
Robustification of classical characteristics of quality of model - significance of the individual explanatory variable, tests of submodels, robustification of the classical diagnostic tools - Durbin-Watson, White , Hausman or Chow test for robust estimation.
Examples of robust processing the panel data - the model with fixed and random effects, gravitational model.
Philosophy of the formalized modeling with short excursions into the history of processing the data.
Vstupní požadavky - angličtina
Poslední úprava: VISEK (07.01.2015)
Just open mind for new things and ideas and, maybe, a desire to do something original.
