Grocer Function

NAME

lad - least absolute deviations regression

CALLING SEQUENCE

[rlad]=lad(grocer_namey,arg1,...,argn)

PARAMETERS

Input

Output

DESCRIPTION

Least absolute deviations regression. Minimizes sum(abs(y - x*b)) using re-iterated weighted least-squares where the weights are the inverse of the absolute values of the residuals. If the user has not given the argument 'noprint', the results of the regression and various diagnostics are displayed on the working space.

EXAMPLES

1) lad(y,x)
2) lad('y','x1','x2','cte','maxit=200','noprint')

Example 1, taken from lad_d, provides the least absolute deviation regression of vector y on matrix x.
Example 2 provides the least absolute deviation regression of y (which can be a ts or a vector) on x1, x2, which can be ts, vectors or matrices and on a constant; the maximum number of iteration is set to 200 and the results are not displayed.

AUTHOR

Eric Dubois 2002