Asymptotics of S-Weighted Estimators

  • Jan Ámos VíšekEmail author
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 274)


The paper studies S-weighted estimator - a combination of S-estimator and the least weighted squares. The estimator allows to adjust the properties, namely the level of robustness of estimator in question to the processed data better than the S-estimator or the least weighted squares can do. The paper offers the proof of its \(\sqrt{n}\)-consistency.


Robustness Implicit weighting The order statistics of the absolute values of residuals The consistency of the SW-estimator under heteroscedasticity 



This paper was written with the support of the Czech Science Foundation project No. P402/12/G097 DYME Dynamic Models in Economics.


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Authors and Affiliations

  1. 1.Charles UniversityPrague, Prague 1Czech Republic

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