Kybernetika 40 no. 6, 715-734, 2004

Optimality of the least weighted squares estimator

Libor Mašíček

Abstract:

The present paper deals with least weighted squares estimator which is a robust estimator and it generalizes classical least trimmed squares. We will prove $\sqrt{n}$-consistency and asymptotic normality for any sequence of roots of normal equation for location model. The influence function for general case is calculated. Finally optimality of this estimator is discussed and formula for most B-robust and most V-robust weights is derived.