Least Absolute Value vs. Least Squares Estimation and Inference Procedures in Regression Models with Asymmetric Error Distributions
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منابع مشابه
Estimation and Inference in Regression Models with Asymmetric Error Distributions: a Comparison of Lav and Ls Procedures
Introduction and Summary The use of regression analysis relies on the choice of a criterion in order to estimate the coefficients of the explanatory variables. Traditionally, the least squares (LS) criterion has been the method of choice. However, the least absolute value (LAV) criterion provides an alternative. LAV regression coefficients are chosen to minimize the sum of the absolute values o...
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