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| Least Trimmed Squares (LTS) 回帰分析× | 最小二乗法 (OLS) 回帰× | |
|---|---|---|
| 分野≠ | 統計学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1984 | 2019 |
| 提唱者≠ | Peter J. Rousseeuw | Wooldridge (textbook treatment); classical least squares |
| 種類≠ | Robust linear regression | Linear regression |
| 原典≠ | Rousseeuw, P. J. (1984). Least Median of Squares Regression. Journal of the American Statistical Association, 79(388), 871-880. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| 別名≠ | LTS, least trimmed squares regression, trimmed least squares, robust regression | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| 関連 | 5 | 5 |
| 概要≠ | Least Trimmed Squares is a robust linear regression method introduced by Peter J. Rousseeuw in 1984. Instead of fitting all residuals, it estimates the coefficients by minimising the sum of only the h smallest squared residuals, which gives it a breakdown point of up to 50% and reliable estimates on data heavily contaminated by outliers. | 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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