A simple approximation of the sampling distribution of least absolute residuals regression estimates
作者:
Barr Rosenberg,
Daryl Carlson,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1977)
卷期:
Volume 6,
issue 4
页码: 421-437
ISSN:0361-0918
年代: 1977
DOI:10.1080/03610917708812055
出版商: Marcel Dekker, Inc.
关键词: Monte Carlo experiments;distribution of median
数据来源: Taylor
摘要:
For multivariate regression with a symmetric disturbance distribution, the error in the least absolute residuals estimator is approximately multivariate normally distributed with mean zero and variance matrix λ2(X′X)−1, where X is the matrix of K explanatory variables and T observations, and λ2/T is the variance of the median of a sample of size T from the disturbance distribution. The approximate sampling theory is validated by extensive Monte Carlo studies, and some directions of possible refinement emerge.
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