Unbiasedness in Linear Model Estimation.
Themis optimization research program,
TEXAS A AND M UNIV COLLEGE STATION INST OF STATISTICS
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Consider the estimation of beta in the familiar linear model y X beta e. It is well-known that the least squares estimation principle gives rise to an unbiased estimator beta bar under very mild conditions. Two alternative estimation principles sometimes considered are the minimization of the sum of absolute residuals and the maximum absolute residual. Since these principles will usually not lead to a unique estimator, the latter will depend on the linear programming algorithm used for its computation. The authors develop two algorithms which are based upon these alternative principles and yield, under very general conditions, unbiased estimators. Author
- Statistics and Probability