On Boscovich's estimator (Q1088327)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Boscovich's estimator |
scientific article |
Statements
On Boscovich's estimator (English)
0 references
1985
0 references
Boscovich's (1757) proposal to estimate the parameters of a linear model by minimizing the sum of absolute deviations subject to the constraint that the mean residual be zero is considered. The asymptotic theory of the estimator confirms a remark of Edgeworth who called it a ''remarkable hybrid'' between \(\ell_ 1\) and \(\ell_ 2\) methods.
0 references
least absolute error estimators
0 references
Boscovich's estimator
0 references
linear model
0 references
minimizing the sum of absolute deviations
0 references
mean residual
0 references
asymptotic theory
0 references
