## Lp norm estimation procedures and an L1 norm algorithm for unconstrained and constrained estimation for linear models

When the distribution of the errors in a linear regression model departs from normality, the method of least squares seems to yield relatively poor estimates of the coefficients. One alternative approach to least squares which has received a great deal of attention of late is minimum L<sub>p</sub> norm estimation. However, the statistical efüciency of a L<sub>p</sub> estimator depends greatly on the underlying distribution of errors and on the value of p. Thus, the choice of an appropriate value of p is crucial to the effectiveness of <sub>p</sub> estimation.

Previous work has shown that L₁ estimation is a robust procedure in the sense that it leads to an estimator which has greater statistical efficiency than the least squares estimator in the presence of outliers, and that L₁ estimators have some- desirable statistical properties asymptotically. This dissertation is mainly concerned with the development of a new algorithm for L₁ estimation and constrained L₁ estimation. The mainstream of computational procedures for L₁ estimation has been the simplex-type algorithms via the linear programming formulation. Other procedures are the reweighted least squares method, and. nonlinear programming technique using the penalty function approach or descent method.

A new computational algorithm is proposed which combines the reweighted least squares method and the linear programming approach. We employ a modified Karmarkar algorithm to solve the linear programming problem instead of the simplex method. We prove that the proposed algorithm converges in a finite number of iterations. From our simulation study we demonstrate that our algorithm requires fewer iterations to solve standard problems than are required by the simplex-type methods although the amount of computation per iteration is greater for the proposed algorithm. The proposed algorithm for unconstrained L₁ estimation is extended to the case where the L₁ estimates of the parameters of a linear model satisfy certain linear equality and/or inequality constraints. These two procedures are computationally simple to implement since a weighted least squares scheme is adopted at each iteration. Our results indicate that the proposed L₁ estimation procedure yields very accurate and stable estimates and is efficient even when the problem size is large. / Ph. D.

 Identifer oai:union.ndltd.org:VTETD/oai:vtechworks.lib.vt.edu:10919/53627 Date January 1986 Creators Kim, Buyong Contributors Statistics, Skarpness, Bradley O., Foutz, Robert, Reynolds, Marion R. Jr., Krutchkoff, Richard G., Sherali, Hanif D. Publisher Virginia Polytechnic Institute and State University Source Sets Virginia Tech Theses and Dissertation Language en_US Detected Language English Type Dissertation, Text Format ix, 133 leaves, application/pdf, application/pdf Rights In Copyright, http://rightsstatements.org/vocab/InC/1.0/ Relation OCLC# 15280160

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