最小一乘估计性质的讨论

A Discussion on the Properties of the Least Absolute Deviation Estimator

解决某些问题时,最小一乘准则在很大程度上优于最小二乘准则.通过对最小一乘准则与最小二乘准则的比较分析,给出了最小一乘估计的一些优良性质,如无偏性、渐近正态性、有效性等,并做了相应的理论证明.

In addressing certain issues, the criterion of the Least Absolute Deviation is better than that of the Least Square Method to a large extent. After the contrastive analysis between the criterion of the Least Absolute Deviation and that of the Least Square Method, some of the good properties of the Least Absolute Deviation are given, such as unbiased property, asymptotic normality properties, effectiveness, and so on, which are then proved theoretically.