On the Loss Robustness of Least-Square Estimators

Tamal Ghosh, Malay Ghosh and Tatsuya Kubokawa

The American Statistician, 2020, vol. 74, issue 1, 64-67

Abstract: The article revisits univariate and multivariate linear regression models. It is shown that least-square estimators (LSEs) are minimum risk estimators in general class of linear unbiased estimators under some general divergence loss. This amounts to the loss robustness of LSEs.

Date: 2020
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DOI: 10.1080/00031305.2018.1529626

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