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Robust weighted LAD regression

  • Giloni, Avi
  • Simonoff, Jeffrey S.
  • Sengupta, Bhaskar
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-4GKW5T1-3/2/d0ced437b3780c8042333661bd0de408
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 50 (2006)
    Issue (Month): 11 (July)
    Pages: 3124-3140

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    Handle: RePEc:eee:csdana:v:50:y:2006:i:11:p:3124-3140
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. Dielman, Terry E. & Rose, Elizabeth L., 1996. "A note on hypothesis testing in LAV multiple regression: A small sample comparison," Computational Statistics & Data Analysis, Elsevier, vol. 21(4), pages 463-470, April.
    2. William F. Sharpe, 1971. "Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios," Management Science, INFORMS, vol. 18(2), pages B1-B13, October.
    3. Sheather, Simon J. & McKean, Joseph W., 1987. "A comparison of testing and confidence interval methods for the median," Statistics & Probability Letters, Elsevier, vol. 6(1), pages 31-36, September.
    4. Billor, Nedret & Hadi, Ali S. & Velleman, Paul F., 2000. "BACON: blocked adaptive computationally efficient outlier nominators," Computational Statistics & Data Analysis, Elsevier, vol. 34(3), pages 279-298, September.
    5. Koenker, Roger, 2000. "Galton, Edgeworth, Frisch, and prospects for quantile regression in econometrics," Journal of Econometrics, Elsevier, vol. 95(2), pages 347-374, April.
    6. Dielman, Terry E. & Pfaffenberger, Roger C., 1992. "A further comparison of tests of hypotheses in LAV regression," Computational Statistics & Data Analysis, Elsevier, vol. 14(3), pages 375-384, October.
    7. Dielman, Terry E. & Rose, Elizabeth L., 1995. "A bootstrap approach to hypothesis testing in least absolute value regression," Computational Statistics & Data Analysis, Elsevier, vol. 20(2), pages 119-130, August.
    8. Rousseeuw, Peter J. & van Zomeren, Bert C., 1992. "A comparison of some quick algorithms for robust regression," Computational Statistics & Data Analysis, Elsevier, vol. 14(1), pages 107-116, June.
    9. He, Xuming, et al, 1990. "Tail Behavior of Regression Estimators and Their Breakdown Points," Econometrica, Econometric Society, vol. 58(5), pages 1195-1214, September.
    10. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
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