Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

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英文文献：Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals
英文文献作者：Vanessa Berenguer-Rico,S?ren Johansen,Bent Nielsen
英文文献摘要：
A uniform weak consistency theory is presented for the marked and weighted empirical distribution function of residuals. New and weaker sufficient conditions for uniform consistency are derived. The theory allows for a wide variety of regressors and error distributions. We apply the theory to 1-step Huber-skip estimators. These estimators describe the widespread practice of removing outlying observations from an intial estimation of the model of interest and updating the estimation in a second step by applying least squares to the selected observations. Two results are presented. First, we give new and weaker conditions for consistency of the estimators. Second, we analyze the gauge, which is the rate of false detection of outliers, and which can be used to decide the cut-off in the rule for selecting outliers.

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