Quote:
Originally Posted by Ether
I have an overdetermined system Ax = b + ε.
Given A and b, what is the recommended way to find x which minimizes the L1 norm of ε ?]
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I borrowed the text "Robust Statistical Methods with R" from Michigan Tech.
The bottom of page 124 gives an example of LAD estimation using rq() from the
quantreg package.
Can this function be used to do LAD estimation for the above stated problem?
A ∈ ℝ
mn m>n ...
b &
ε ∈ ℝ
m ...
x ∈ ℝ
n