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: | Narula Subhash C., Korhonen Pekka J. |
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.