On L1 and Chebyshev estimation |
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Authors: | Gautam Appa Cyril Smith |
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Institution: | (1) Middlesex Polytechnic at Enfield, Middlesex, England;(2) London School of Economics, London, England |
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Abstract: | The problem considered here is that of fitting a linear function to a set of points. The criterion normally used for this is least squares. We consider two alternatives, viz., least sum of absolute deviations (called the L1 criterion) and the least maximum absolute deviation (called the Chebyshev criterion). Each of these criteria give rise to a linear program. We develop some theoretical properties of the solutions and in the light of these, examine the suitability of these criteria for linear estimation. Some of the estimates obtained by using them are shown to be counter-intuitive. |
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