On robust estimation in certainty equivalence control

DOI10.1080/00949658208810547MaRDI QIDQ3942217zbMATH OpenOpenAlexFDO

Authors A. H. Westlund, Hans Stenlund

Publication date 1982

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949658208810547

zbMATH Keywords

comparisonduality problemL1-norm estimatorsleast squares estimatorsstable distribution

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cites work

• Algorithm AS 132: Least Absolute Value Estimates for a Simple Linear Regression Problem
• Estimation of regression equation with cauchy disturbances
• scientific article; zbMATH DE number 3145712 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• scientific article; zbMATH DE number 3090543 (Why is no real title available?)
• L p -methods for robust regression
• Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios
• The Small Sample Properties of Simultaneous Equation Least Absolute Estimators vis-a-vis Least Squares Estimators

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