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Discriminant Analysis Using Least Absolute Deviations
Author(s) -
Lee ChauKwor,
Ord J. Keith
Publication year - 1990
Publication title -
decision sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.238
H-Index - 108
eISSN - 1540-5915
pISSN - 0011-7315
DOI - 10.1111/j.1540-5915.1990.tb00318.x
Subject(s) - least absolute deviations , linear discriminant analysis , absolute deviation , absolute (philosophy) , linear regression , statistics , mean absolute error , mathematics , computer science , regression , mean squared error , philosophy , epistemology
Several linear programming methods have been suggested as discrimination procedures. A least absolute deviations regression procedure is developed here which is simpler to use and does not suffer from any lack of invariance. A simulation study shows it to be at least as effective as any of the methods previously discussed for normal and heavy‐tailed distributions.