Regression Methods

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

Chapter 2 in Adaptive Regression, 2000, pp 11-36 from Springer

Abstract: Abstract There are various methods for estimation of regression coefficients in the linear regression model. The most commonly used is the method of least squares; it has the best performance if the errors have a normal probability distribution. If one should admit that the population may not be normal, then the LS estimates are less efficient than M- or L-estimators.

Keywords: Regression Quantile; Ridge Regression; Breakdown Point; Least Trim Square; Ridge Estimator (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1007/978-1-4419-8766-2_2

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