On robust estimation in certainty equivalence control

DOI10.1080/00949658208810547zbMath0483.62025OpenAlexW2040421642MaRDI QIDQ3942217

A. H. Westlund, Hans Stenlund

Publication date: 1982

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658208810547

zbMATH Keywords

comparisonstable distributionleast squares estimatorsduality problemL1-norm estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Algorithm AS 132: Least Absolute Value Estimates for a Simple Linear Regression Problem
• Estimation of regression equation with cauchy disturbances
• L p -methods for robust regression
• The Small Sample Properties of Simultaneous Equation Least Absolute Estimators vis-a-vis Least Squares Estimators
• Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios
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