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Gini Regression Analysis
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International Statistical Review / Revue Internationale de Statistique, Vol. 60, No. 2. (1992), pp. 185-196.
Abstract
The method of least squares ranks as one of the most commonly used methods for estimating the relation between a set of variables on the conditional expected value of another variable. Ordinary Least Squares (OLS) relies on several assumptions, which when violated may not yield robust estimates. In this paper we pose alternative ways to view this model. In particular we study Gini regression which is equivalent to OLS when the assumptions hold, and is more robust when the assumptions fail. Gini regression can also be used to test the validity of the assumptions.
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