| 最小一乘估计快速算法 |
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| 引用本文： | 吕书龙,刘文丽. 最小一乘估计快速算法[J]. 应用概率统计, 2008, 24(6): 621-630 |
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| 作者姓名： | 吕书龙 刘文丽 |
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| 作者单位： | 福州大学数学与计算机科学学院,福州,350108 |
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| 基金项目： | 福州大学科技发展基金 |
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| 摘 要： | 最小二乘估计容易受奇异点的影响, 最小一乘估计是稳健估计, 可以很好地克服这个缺陷, 但计算困难. 基于非退化模型假设下的稳定极点理论, 本文找到了快速准确求解最小一乘估计的迭代算法,并给出算法的计算过程及与线性规划求解的比较, 较好地解决了最小一乘估计计算难的问题, 使其成为有效的参数估计方法.
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| 关 键 词： | 最小一乘估计 最小二乘估计 迭代算法. |
Quick Algorithm for Least Absolute Deviation Estimator |
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| LU SHULONG,LIU WENLI. Quick Algorithm for Least Absolute Deviation Estimator[J]. Chinese Journal of Applied Probability and Statisties, 2008, 24(6): 621-630 |
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| Authors: | LU SHULONG LIU WENLI |
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| Affiliation: | Colleage of Mathematics and Computer Science;Fuzhou University;Fuzhou;350108 |
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| Abstract: | Least square estimator(LSE) is disturbed easily by singular point;least absolute deviation estimator(LADE) can overcome the influence of singular point,but it is difficult in calculation.A convergent algorithm for LADE based on the stable pole theorem of LADE under non-degenerate model is obtained in this paper.The progress of algorithm and comparison of linear programming are derived.Further this algorithm makes LADE more effective. |
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| Keywords: | Least absolute deviation least square convergent algorithm. |
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