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Heteroskedasticity-consistent standard errors

Publications associées (118)

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Estimation in the presence of multiple sources of uncertainties with applications

Ali H. Sayed

We develop an estimation technique for problems that involve multiple sources of uncertainties or errors in the data. The method allows the designer to explicitly incorporate into the problem formulation bounds on the sizes of the uncertainties; thus leadi ...

1998

Adaptive finite elements for a linear parabolic problem

Marco Picasso

A posteriori error estimates for the heat equation in two space dimensions are presented. A classical discretization is used, Euler backward in time, and continuous, piecewise linear triangular finite elements in space. The error is bounded above and below ...

1998

Optimal Parameterization of Point Distribution Models

We address the problem of determining the \emph{optimal model complexity} for shape modeling. This complexity is a compromise between model specificity and generality. We show that the error of a model can be split into two components, the model error and ...

IDIAP1998

Exponentially weighted iterative solutions for worst-case parameter estimation

Ali H. Sayed

This paper proposes an iterative scheme for worst-case parameter estimation in the presence of bounded model uncertainties. The algortihm distinguished itself from other estmation schemes, such as errors-in-variables and Hoo methors, in that it leads to le ...

1997

Best-fit parameter estimation for a bounded errors-in-variables model

Ali H. Sayed

We pose and solve a parameter estimation problem in the presence of bounded data uncertainties. The new formulation involves a minimization problem and admits a closed form solution in terms of the unique positive root of a secular equation. It also has in ...

1997

Separation of arterial pressure waves into their forward and backward running components

Nikolaos Stergiopoulos, Jean-Jacques Meister

A new separation technique has been developed to determine the forward and backward running arterial pressure wave components. It takes into account friction as well as nonlinear effects due to convective acceleration and to the pressure dependence of the ...

1996

Robustness in Variogram Estimation

In this paper we consider several estimators for the variogram: the classical estimator due to Matheron, a robust estimator proposed by Cressie & Hawkins, and two highly robust estimators introduced by Rousseeuw in the context of scale estimation. It will ...

1995

A robustness analysis of Gauss-Newton recursive methods

Ali H. Sayed

We provide a time-domain robustness analysis of Gauss-Newton recursive methods that are often employed in identification and control. Several free parameters are included in the filter description while combining the covariance update and the weight-vector ...

1995