An L_∞ estimation in regression

Keight Knight (University Toronto, USA)
Wednesday, April 29, 2015 - 10:00am
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

L_∞ estimation is not part of the traditional canon of applied regression analysis. And for good reason - it is highly non-robust and potentially very unstable. Nonetheless, in some situations, minimizing the maximum absolute residual is a worthwhile objective. In this talk, we will discuss the properties (both asymptotic and non-asymptotic) of L_∞ estimation in linear regression and describe an approach for "rescuing'' L_∞ estimation that can also be applied to non-parametric regression problems.