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LAD Regression for Detecting Outliers in Response and Explanatory Variables

✍ Scribed by Yadolah Dodge

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 284 KB
Volume: 61
Category: Article
ISSN: 0047-259X
DOI: 10.1006/jmva.1997.1666

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✦ Synopsis

Least absolute deviations regression resists outliers in the response variable but is relatively sensitive to outlying observations in the explanatory variables. In this paper a simple solution is proposed to overcome this problem. This is achieved by minimizing the absolute values of vertical and horizontal deviations in turn. Two algorithms are proposed: one for the simple and one for the multiple regression case. The methods presented have been tested on a variety of data and have proven to be quite effective.

1997 Academic Press

The residual r i of the observation i is the difference between what is actually observed and what is estimated:

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