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  • 1. An adaptive procedure for the robust estimation of the rate of change of investment Archived
    Articles and reports: 12-001-X19970023619
    Description:

    The presence of outliers in survey data is a recurring problem in applied statistics, and the INSEE survey on industrial investment is not immune from this. The forecasting of the rate of growth of capital investment expenditures in industry therefore comes down to robust estimation of a total in a finite population. The first part of this article analyses the estimator currently used in the Investment Survey. We show that it follows a strategy of reweighting the linear estimator. But the strict dichotomy imposed between outliers - all assumed to be nonrepresentative - and other points is not fully satisfactory from either a theoretical or a practical standpoint. These flaws can be overcome by adopting a model-based approach and estimating by GM-estimators, applied to the case of a finite population. We then construct a robust adaptive procedure that determines the appropriate estimator on the basis of the residuals observed in the sample in cases where the residuals may be assumed to be symmetrical. Lastly, this method is applied to the data from the Investment Survey for the period 1990-1995.

    Release date: 1998-03-12
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  • 1. An adaptive procedure for the robust estimation of the rate of change of investment Archived
    Articles and reports: 12-001-X19970023619
    Description:

    The presence of outliers in survey data is a recurring problem in applied statistics, and the INSEE survey on industrial investment is not immune from this. The forecasting of the rate of growth of capital investment expenditures in industry therefore comes down to robust estimation of a total in a finite population. The first part of this article analyses the estimator currently used in the Investment Survey. We show that it follows a strategy of reweighting the linear estimator. But the strict dichotomy imposed between outliers - all assumed to be nonrepresentative - and other points is not fully satisfactory from either a theoretical or a practical standpoint. These flaws can be overcome by adopting a model-based approach and estimating by GM-estimators, applied to the case of a finite population. We then construct a robust adaptive procedure that determines the appropriate estimator on the basis of the residuals observed in the sample in cases where the residuals may be assumed to be symmetrical. Lastly, this method is applied to the data from the Investment Survey for the period 1990-1995.

    Release date: 1998-03-12
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