Robust errors-in-variables linear regression via Laplace distribution

Jianhong Shi, Kun Chen and Weixing Song

Statistics & Probability Letters, 2014, vol. 84, issue C, 113-120

Abstract: Robust estimation procedures for linear and mixture linear errors-in-variables regression models are proposed based on the relationship between the least absolute deviation criterion and maximum likelihood estimation in a Laplace distribution. The finite sample performance of the proposed procedures is evaluated by simulation studies.

Keywords: Least absolute deviation; EM algorithm; Mixture regression model; Normal mixture; Laplace distribution (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2013.09.036

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