Analytical and Bootstrap Approximations to Estimator Distributions in L 1 Regression
L1回归估计量分布的解析与自助法近似
Edgeworth and bootstrap approximations to estimator distributions in L1 regression are described. Analytic approximations based on Edgeworth expansions that mix lattice and nonlattice components and allow for an intercept term in the regression are developed under mild conditions, which do not even require a density for the error distribution. Under stronger assumptions on the error distribution, the Edgeworth expansion assumes a simpler form. Bootstrap approximations are…