Adaptive LAD + M-Regression

Yadolah Dodge and Jana Jureĉková
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Yadolah Dodge: University of Neuchâtel
Jana Jureĉková: Charles University, Department of Probability and Statistics

Chapter 5 in Adaptive Regression, 2000, pp 75-86 from Springer

Abstract: Abstract The least squares estimator is optimal for the normal distribution of the errors, not only with respect to the L 2-norm but also in many other respects. The LAD estimator is recommended when the shape of the distribution is unknown and we only assume that it belongs to a broad family of distributions.

Date: 2000
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DOI: 10.1007/978-1-4419-8766-2_5

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