Adaptive LS + TLS 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 6 in Adaptive Regression, 2000, pp 87-98 from Springer

Abstract: Abstract Up to now, we have considered adaptive combinations of the LAD estimator with various other estimators (LS, trimmed LS, and M-estimator). The reason why we considered just LAD is that it is generally accepted as fairly robust against distribution outliers. We received manageable adaptive procedures that enabled us either to decide for LAD or for its counterpart, or eventually for a mixture of both procedures, which can be interpreted as an adjustment of LAD to the distribution shape.

Keywords: Linear Regression Model; Regression Quantile; Consistent Estimator; Asymptotic Variance; Influence Function (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_6

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DOI: 10.1007/978-1-4419-8766-2_6

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