Analysis of least absolute deviation
最小绝对偏差分析
We develop a unified L1-based analysis-of-variance-type method for testing linear hypotheses. Like the classical L2-based analysis of variance, the method is coordinate-free in the sense that it is invariant under any linear transformation of the covariates or regression parameters. Moreover, it allows singular design matrices and heterogeneous error terms. A simple approximation using stochastic perturbation is proposed to obtain cut-off values for the resulting test…