| Article ID: | iaor20003737 |
| Country: | Singapore |
| Volume: | 15 |
| Issue: | 1 |
| Start Page Number: | 75 |
| End Page Number: | 92 |
| Publication Date: | May 1998 |
| Journal: | Asia-Pacific Journal of Operational Research |
| Authors: | Sueyoshi Toshiyuki, Sekitani Kazuyuki |
| Keywords: | time series & forecasting methods, programming: nonlinear, statistics: regression |
This study explores mathematical properties of Least Absolute Value Estimation (LAVE) with Serial Correlation (SC), focusing upon its formulation, algorithm, multiple solutions, and global optimality conditions. The SC is expressed by a first-order autocorrelated disturbance which is incorporated into LAVE. The resulting LAVE-SC estimation is discussed from the perspectives of mathematical programming.