Chalabi, Yohan and Wuertz, Diethelm (2012): Robust estimation with the weighted trimmed likelihood estimator.
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We consider the problem related to the estimation of parametric models in the presence of outliers. The maximum likelihood estimator is often used to find parameter values. However, it is highly sensitive to abnormal points. In this regard, the weighted trimmed likelihood estimator (WTLE) has been introduced as a robust alternative. We present a new scheme for automatically computing the trimming parameter and weights of the WTLE. The method is illustrated by applying it to the standard GARCH model. We compare the approach with other recently introduced robust GARCH estimators through an extensive simulation study.
|Item Type:||MPRA Paper|
|Original Title:||Robust estimation with the weighted trimmed likelihood estimator|
|Keywords:||GARCH models, Robust estimators, outliers, Weighted trimmed likelihood estimator (WTLE), Quasi maximum Likelihood estimator (QMLE)|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
|Depositing User:||Yohan Chalabi|
|Date Deposited:||30 Nov 2012 15:02|
|Last Modified:||05 Jan 2017 04:34|
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Available Versions of this Item
Weighted trimmed likelihood estimator for GARCH models. (deposited 29 Nov 2010 00:42)
- Robust estimation with the weighted trimmed likelihood estimator. (deposited 30 Nov 2012 15:02) [Currently Displayed]