Coefficients of determination for least absolute deviation analysis

DOI10.1016/0167-7152(87)90026-5MaRDI QIDQ1088348zbMATH OpenOpenAlexFDO

Authors Joseph W. McKean, Gerald L. Sievers

Publication date 1987

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(87)90026-5

zbMATH Keywords

coefficients of determinationefficiencyleast-absolute deviationlinear modelmeasures of multiple associationoutliersrandom predictor variablesrobustness

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Linear inference, regression (62J99)

Review text

The least-absolute deviation or \(l_ 1\) analysis of a linear model is an important alternative to the classical least squares analysis from the point of view of efficiency for longer-tailed error distributions and robustness to the presence of outliers. In this paper two coefficients of determination are proposed for the least-absolute deviation analysis. It is shown that they have desirable properties as measures of multiple association. Both fixed and random predictor variable cases are considered. In the case of random predictor variables, the sample coefficients of determination are shown to be consistent estimators of appropriate population parameters.

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(17)

• Robust measures of association in the correlation model
• Locating hyperplanes to fitting set of points: a general framework
• On influence assessment for LAD regression
• Estimators of the multiple correlation coefficient: local robustness and confidence intervals
• Goodness of fit in nonparametric regression modelling
• Assessing model adequacy in possibly misspecified quantile regression
• Coefficient of determination for multiple measurement error models
• A review of robust regression and diagnostic procedures in linear regression
• Quality of fit measurement in regression quantiles: an elemental set method approach
• Statistical inference for a robust measure of multiple correlation
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• A. R.²type measure of dependence for proportional hazards models
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