Adaptive LAD + LS 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 3 in Adaptive Regression, 2000, pp 37-60 from Springer

Abstract: Abstract Arthanari and Dodge (1981) introduced an estimation method in the linear model based on a convex combination of a least squares and of a least absolute deviations estimators with a fixed weight δ, 0 ≤ δ≤ 1. They also provided two algorithms using a mathematical programming approach for finding estimates in linear regression. However, in optimizing such a convex combination, the experimenter is required to fix the value of δ or vary it at different values up to complete satisfaction in an ad hoc fashion.

Keywords: Convex Combination; Decision Procedure; Salinity Data; Mathematical Programming Approach; Adaptive Combination (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4419-8766-2_3

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DOI: 10.1007/978-1-4419-8766-2_3

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