Linear Regression for Heavy Tails
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DOI: 10.3390/risks6030093
Abstract: There exist several estimators of the regression line in the simple linear regression: Least Squares, Least Absolute Deviation, Right Median, Theil–Sen, Weighted Balance, and Least Trimmed Squares. Their performance for heavy tails is compared below… read more here.
Keywords: heavy tails; regression heavy; distribution; linear regression ... See more keywords