Analysis of least absolute deviation
نویسندگان
چکیده
منابع مشابه
Analysis of least absolute deviation
The least absolute deviation or L1 method is a widely known alternative to the classical least squares or L2 method for statistical analysis of linear regression models. Instead of minimizing the sum of squared errors, it minimizes the sum of absolute values of errors. Despite its long history and many ground-breaking works (cf. Portnoy and Koenker (1997) and references therein), the former has...
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The linear absolute shrinkage and selection operator(Lasso) method improves the low prediction accuracy and poor interpretation of the ordinary least squares(OLS) estimate through the use of L1 regularization on the regression coefficients. However, the Lasso is not robust to outliers, because the Lasso method minimizes the sum of squared residual errors. Even though the least absolute deviatio...
متن کاملA Maximum Likelihood Approach to Least Absolute Deviation Regression
Least absolute deviation (LAD) regression is an important tool used in numerous applications throughout science and engineering, mainly due to the intrinsic robust characteristics of LAD. In this paper, we show that the optimization needed to solve the LAD regression problem can be viewed as a sequence of maximum likelihood estimates (MLE) of location. The derived algorithm reduces to an iterat...
متن کاملSystem Identification Using Reweighted Zero Attracting Least Absolute Deviation Algorithm
In this paper, the l1 norm penalty on the filter coefficients is incorporated in the least mean absolute deviation (LAD) algorithm to improve the performance of the LAD algorithm. The performance of LAD, zero-attracting LAD (ZA-LAD) and reweighted zero-attracting LAD (RZA-LAD) are evaluated for linear time varying system identification under the non-Gaussian (α-stable) noise environments. Effec...
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It is well known that the least absolute deviation (LAD) estimators are more robust than the least squares estimators particularly in presence of heavy tail errors. We consider the LAD estimators of the unknown parameters of one dimensional chirp signal model under independent and identically distributed error structure. The proposed estimators are strongly consistent and it is observed that th...
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ژورنال
عنوان ژورنال: Biometrika
سال: 2008
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/asm082