- Title
- Versatile regression: Simple regression with a non-normal error distribution
- Creator
- Dean, Benjamin; King, Robert A. R.
- Relation
- 3rd Annual ASEARC Research Conference. ASEARC: Proceedings of the Third Annual ASEARC Research Conference (Newcastle, N.S.W. 7-8 December, 2009)
- Relation
- http://www.uow.edu.au/informatics/maths/research/groups/asearc/2009rescon/index.html
- Publisher
- Applied Statistics Education and Research Collaboration (ASEARC)
- Resource Type
- conference paper
- Date
- 2009
- Description
- We present a simple regression technique, called Versatile Regression, where the error distribution is described by the Generalized Lambda Distribution. The flexibility of this distribution allows the error distribution to be heavy-tailed, skewed or approximately normal. Versatile Regression was found to perform well on heavy-tailed and skewed data. Versatile Regression also provided a reasonable approximation to Normal-Error Regression. Simulation studies found that Versatile Regression produced accurate parameter estimates.
- Subject
- simple regression; Generalized Lambda Distribution; non-normal error distribution
- Identifier
- uon:8790
- Identifier
- http://hdl.handle.net/1959.13/919146
- Identifier
- ISBN:9780980603484
- Full Text
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