Abstract
We propose a least median of absolute (LMA) estimator for a linear regression model, based on minimizing the median absolute deviation of the residuals. Under some regularity conditions on the design points and disturbances, the strong convergence rate of the LMA estimator is established.
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Ip, W.C., Yang, Y., Kwan, P.Y.K. et al. Strong convergence rate of the least median absolute estimator in linear regression models. Statistical Papers 44, 183–201 (2003). https://doi.org/10.1007/s00362-003-0145-z
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DOI: https://doi.org/10.1007/s00362-003-0145-z