Lu Shulong, Liu Wenli. Quick Algorithm for Least Absolute Deviation Estimator[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(6): 621-630.
Citation: Lu Shulong, Liu Wenli. Quick Algorithm for Least Absolute Deviation Estimator[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(6): 621-630.
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Quick Algorithm for Least Absolute Deviation Estimator

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  • Least square estimator (LSE) is disturbed easily by singular point; least absolute deviation estimator (LADE) can overcome the influence of singular point, but it is difficult in calculation. A convergent algorithm for LADE based on the stable pole theorem of LADE under non-degenerate model is obtained in this paper. The progress of algorithm and comparison of linear programming are derived. Further this algorithm makes LADE more effective.
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