Versatile regression: Simple regression with a non-normal error distribution

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
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