[R] Least Absolute Deviation

[huan.huang@bnpparibas.com]

Dear all,

I try to fit least absolute deviation  (LAD) regression with R. I couldn't
find any command to carry out LAD. What I am doing now is using nlm() and
setting the function argument to minimize the sum of the absolute
deviation. But for some data it keeps giving out the error message: Error
in nlm(absdev, b.start) : non-finite value supplied by nlm. (there is no na
in my dataset.)

I am wondering if there is some function I can do it directly.

Many thanks.

Huan




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