[R]: Lp norm estimation

Elio Mineo mineoeli at unipa.it
Thu Dec 18 15:53:32 CET 2003


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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>
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