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| M-Schätzer (Robuste Regression)× | Methode der kleinsten Quadrate (OLS)× | |
|---|---|---|
| Fachgebiet≠ | Statistik | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 2009 | 2019 |
| Urheber≠ | Peter J. Huber | Wooldridge (textbook treatment); classical least squares |
| Typ≠ | Robust linear regression | Linear regression |
| Wegweisende Quelle≠ | Huber, P. J., & Ronchetti, E. M. (2009). Robust Statistics (2nd ed.). Wiley. link ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| Aliasnamen | m-estimation, huber regression, robust m-regression, M-Tahmin Ediciler | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| Verwandt | 5 | 5 |
| Zusammenfassung≠ | M-estimators are a robust generalisation of maximum likelihood estimation, formalised in the work of Peter J. Huber (Huber & Ronchetti, 2009). Instead of squaring every residual, they apply a bounded loss function so that large residuals from outliers are down-weighted rather than allowed to dominate the fit. | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
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