Hi all
Just wondering whether one can undertake Lp norm estimation (a type of
regression analysis) in R?
i.e.
argmin S ( | y(i) - x(i)b | ^p )
where:
* S is the summation over observation i= 1,2,...,n
* y is a vector of n observations
* x is an n by p matrix of explanatory variables
* b is a p by 1 vector of beta coefficients and
* p is a constant to be estimated such that p>= 1
Regards
Allan
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