Abstract
In this chapter we consider the multivariate multiple regression problem. The tests and estimates are again based on identity, spatial sign, and spatial rank scores. The estimates obtained in this way are then the regular LS estimate, the LAD estimate based on the mean deviation of the residuals (from the origin) and the estimate based on mean difference of the residuals. The estimates are thus multivariate extensions of the univariate L 1 estimates. Equivariant/invariant versions are found using inner centering and standardization.
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© 2010 Springer Science+Business Media, LLC
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Oja, H. (2010). Multivariate linear regression. In: Multivariate Nonparametric Methods with R. Lecture Notes in Statistics(), vol 199. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-0468-3_13
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DOI: https://doi.org/10.1007/978-1-4419-0468-3_13
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Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4419-0467-6
Online ISBN: 978-1-4419-0468-3
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