Least Squares and Minimum Distance Estimation in the Three-Parameter Weibull and Fréchet Models with Applications to River Drain Data

1998 ◽  
pp. 81-97
Author(s):  
Robert Offinger
Keyword(s):  
Least Squares ◽  
Minimum Distance ◽  
Distance Estimation ◽  
Minimum Distance Estimation

scholarly journals Momentary Lapses: Moment Expansions and the Robustness of Minimum Distance Estimation

1994 ◽  
Vol 10 (1) ◽  
pp. 172-197 ◽  
Author(s):  
Roger Koenker ◽  
José A.F. Machado ◽  
Christopher L. Skeels ◽  
Alan H. Welsh
Keyword(s):  
Least Squares ◽  
Covariance Matrix ◽  
Asymptotic Expansions ◽  
Minimum Distance ◽  
Distance Estimation ◽  
Covariance Matrix Estimation ◽  
Minimum Distance Estimation ◽  
Matrix Estimation ◽  
Error Distributions

This paper explores the robustness of minimum distance (GMM) estimators focusing particularly on the effect of intermediate covariance matrix estimation on final estimator performance. Asymptotic expansions to order Op(n−3/2) are employed to construct O(n−2) expansions for the variance of estimators constructed from preliminary least-squares and general M-estimators. In the former case, there is a rather curious robustifying effect due to estimation of the Eicker-White covariance matrix for error distributions with sufficiently large kurtosis.

Minimum distance estimation of ARFIMA processes

2013 ◽  
Vol 58 ◽  
pp. 242-256 ◽  
Author(s):  
Mauricio Zevallos ◽  
Wilfredo Palma
Keyword(s):  
Minimum Distance ◽  
Distance Estimation ◽  
Minimum Distance Estimation
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