Accounting for Asymmetry in M-Estimation

Manuel Stapper

No 10924, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: Standard M-Estimation techniques are biased if an asymmetric distribution is assumed. This article proposes a novel approach that uses an adaptive asymmetric loss function to tackle the bias. Its consistency and asymptotic normality are proven. The robustness properties are assessed in a simulation study showing similar performance compared to existing approaches. Its versatility is demonstrated in three applications to time series data, an instrumental regression and a classification task.

Keywords: Robust Statistics; M-Estimation; Computational Statistics (search for similar items in EconPapers)
Pages: 23 pages
Date: 2024-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:cqe:wpaper:10924

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