Huber estimation for the network autoregressive model

Huber estimation for the network autoregressive model

We propose the Huber estimator for the network autoregressive model, which exhibits both robustness and efficiency under heavy-tailed errors and loses little efficiency compared to OLS under light-tailed errors.

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Veröffentlicht in:Statistics & probability letters 2023-12, Vol.203, p.109917, Article 109917
Hauptverfasser: Xiao, Xuan, Xu, Xingbai, Zhong, Wei
Format: Artikel
Sprache:eng
Schlagworte:
Huber loss
Network autoregressive model
Robust estimation
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Zusammenfassung:We propose the Huber estimator for the network autoregressive model, which exhibits both robustness and efficiency under heavy-tailed errors and loses little efficiency compared to OLS under light-tailed errors.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2023.109917