Influence measure for the L1 regression |
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| Authors: | Silvia N Elian Carmen DS André Subhash C Narula |
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| Institution: | 1. Instituto de Matematica e Estatistica Univerisity of Sao Paulo , Rua do Matao, 1010, Sao Paulo, 05508-900 Sao Paulo, Brazil;2. School of Business Virginia Commonwealth University , Richmond, VA, 23284-4000, USA |
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| Abstract: | Because outliers and leverage observations unduly affect the least squares regression, the identification of influential observations is considered an important and integrai part of the analysis. However, very few techniques have been developed for the residual analysis and diagnostics for the minimum sum of absolute errors, L1 regression. Although the L1 regression is more resistant to the outliers than the least squares regression, it appears that outliers (leverage) in the predictor variables may affect it. In this paper, our objective is to develop an influence measure for the L1 regression based on the likelihood displacement function. We illustrate the proposed influence measure with examples. |
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| Keywords: | influential observation leverage point likelihood displacement likelihood function minimum sum of absolute errors regression MSAE outlier |
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