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| 最小二乗法 (OLS) 回帰× | ロバスト回帰のためのS推定量× | |
|---|---|---|
| 分野≠ | 計量経済学 | 統計学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 2019 | 1984 |
| 提唱者≠ | Wooldridge (textbook treatment); classical least squares | Rousseeuw & Yohai (1984) |
| 種類≠ | Linear regression | Robust linear regression |
| 原典≠ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 | Rousseeuw, P. J. & Yohai, V. J. (1984). Robust Regression by Means of S-Estimators. In Robust and Nonlinear Time Series Analysis (Lecture Notes in Statistics, Vol. 26, pp. 256-272). Springer. DOI ↗ |
| 別名≠ | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu | S-estimation, robust S-regression, S-Tahmin Edici |
| 関連 | 5 | 5 |
| 概要≠ | 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). | The S-estimator is a robust linear-regression method, introduced by Rousseeuw and Yohai in 1984, that estimates the coefficients by minimising a robust M-estimate of the residual scale rather than the variance of the residuals. By driving down a bounded measure of residual spread it can attain a breakdown point of up to 50%, so it stays reliable even when a large share of the data are outliers, and it provides the first stage of the well-known MM-estimator. |
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