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An algorithm and Fortran program for multivariate LAD (\(\ell_1\) of \(\ell_2\)) regression. (English) Zbl 0992.62062
A FORTRAN package is presented for multivariate least sum of absolute deviations (LAD) regression with respect to the \(\ell_1\) of \(\ell_2\) norm, and this regression method is compared with \(\ell_2\) of \(\ell_2\) regression and \(\ell_1\) of \(\ell_1\) regression. Applications of the algorithm include multivariate permutation analyses of experimental designs and prediction models which are based on Euclidean distance.
MSC:
62J05 Linear regression; mixed models
62-04 Software, source code, etc. for problems pertaining to statistics
65C60 Computational problems in statistics (MSC2010)
Software:
CONMAX
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