Multivariate multiple linear regression based on the minimum sum of absolute errors criterion

Multivariate multiple linear regression based on the minimum sum of absolute errors criterion

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Article ID: iaor19972197
Country: Netherlands
Volume: 73
Issue: 1
Start Page Number: 70
End Page Number: 75
Publication Date: Feb 1994
Journal: European Journal of Operational Research
Authors: ,
Abstract:

The authors propose the minimum sum of absolute errors (MSAE) criterion for estimating the unknown parameters of a multivariate multiple linear regression model. It is less sensitive to outliers than the popular least squares procedure. A multivariate multiple linear regression problem may be viewed as a multiple criteria decision problem. Using the MSAE criterion the estimation problem can be formulated and solved as a multiple objective linear programming problem. The authors illustrate the idea with a bicriteria example.

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