Hi Allan, I think the function lmp() of the package normalp could be useful to you. Regards, Elio
allan clark wrote:
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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