Geodesic
Consistency of the least weighted squares under heteroscedasticity
Kybernetika, Tome 47 (2011) no. 2, pp. 179-206

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A robust version of the Ordinary Least Squares accommodating the idea of weighting the order statistics of the squared residuals (rather than directly the squares of residuals) is recalled and its properties are studied. The existence of solution of the corresponding extremal problem and the consistency under heteroscedasticity is proved.
Classification : 62F35, 62J02
Keywords: robustness; weighting the order statistics of the squared residuals; consistency of the least weighted squares under heteroscedasticity 
@article{KYB_2011__47_2_a1,
     author = {V{\'\i}\v{s}ek, Jan \'Amos},
     title = {Consistency of the least weighted squares under heteroscedasticity},
     journal = {Kybernetika},
     pages = {179--206},
     publisher = {mathdoc},
     volume = {47},
     number = {2},
     year = {2011},
     mrnumber = {2828572},
     zbl = {1220.62064},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2011__47_2_a1/}
}
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Víšek, Jan Ámos. Consistency of the least weighted squares under heteroscedasticity. Kybernetika, Tome 47 (2011) no. 2, pp. 179-206. http://geodesic.mathdoc.fr/item/KYB_2011__47_2_a1/