Least absolute deviations estimation via the EM algorithm |
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| Authors: | Robert F Phillips |
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| Institution: | (1) Centre for Evaluation of Medicines, St. Joseph's Hospital, Canada;(2) Department of Clinical Epidemiology and Biostatistics, McMaster University, Hamilton, Ontario, Canada |
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| Abstract: | This paper derives EM and generalized EM (GEM) algorithms for calculating least absolute deviations (LAD) estimates of the parameters of linear and nonlinear regression models. It shows that Schlossmacher's iterative reweighted least squares algorithm for calculating LAD estimates (E.J. Schlossmacher, Journal of the American Statistical Association 68: 857–859, 1973) is an EM algorithm. A GEM algorithm for computing LAD estimates of the parameters of nonlinear regression models is also provided and is applied in some examples. |
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| Keywords: | iterative reweighted least squares double exponential distribution nonlinear regression normal mixture |
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