Transcending The Least Squares
数据分析、统计与概率
2009-12-16 v3 高能物理 - 唯象学
统计理论
统计理论
摘要
The method of quasi-optimal weights provides a comprehensive, asymptotically optimal, transparent and flexible alternative to the least squares method. The optimality holds for a general non-linear, non-gaussian case.
引用
@article{arxiv.physics/0604127,
title = {Transcending The Least Squares},
author = {Fyodor V. Tkachov},
journal= {arXiv preprint arXiv:physics/0604127},
year = {2009}
}
备注
6 pages. v3: Gauss-Markov mentioned explicitly; fin. support updated. v2: factors N fixed; many fine-tunings; additions to references. The author would like this text not to contribute to perpetuation of the practice of anonymous peer review. The arXiv is just enough. http://www.inr.ac.ru/~ftkachov/projects/qow/transleastsquares.html