DocumentCode :
3029576
Title :
Critical sample size for the Lp-norm estimator in linear regression models
Author :
Llorente, Alejandro ; Suarez, Almudena
Author_Institution :
Inst. de Ing. del Conocimiento, Univ. Autonoma de Madrid, Cantoblanco, Spain
fYear :
2013
fDate :
8-11 Dec. 2013
Firstpage :
1047
Lastpage :
1056
Abstract :
In the presence of non-Gaussian noise the least squares estimator for the parameters of a regression model can be suboptimal. Therefore, it is reasonable to consider other norms. Lp-norm estimators are a useful alternative, particularly when the residuals are heavy-tailed. We analyze the convergence properties of such estimators as a function of the number samples available for estimation. An analysis based on the Random Energy Model (REM), a simplified model used to describe the thermodynamic properties of amorphous solids, shows that, in a specific limit, a second order phase transition takes place: For small sample sizes the typical and average values of the estimator are very different. For sufficiently large samples, the most probable value of the estimator is close to its expected value. The validity analysis is illustrated in the problem of predicting intervals between subsequent tweets.
Keywords :
convergence; least squares approximations; regression analysis; sampling methods; Lp-norm estimator; REM; amorphous solids; convergence properties; least squares estimation; linear regression models; nonGaussian noise; random energy model; sample size; second order phase transition; thermodynamic properties; validity analysis; Analytical models; Biological system modeling; Computational modeling; Entropy; Estimation; Random variables; Solid modeling;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Simulation Conference (WSC), 2013 Winter
Conference_Location :
Washington, DC
Print_ISBN :
978-1-4799-2077-8
Type :
conf
DOI :
10.1109/WSC.2013.6721494
Filename :
6721494
Link To Document :
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