Least Absolute Deviation Regression

[d***@_dylan_.gov]

Hi all,

I have been trying to find an algorithm for Least Absolute Deviation regression, and have been having the hardest time. I am writing the algorithm in Java. I am wondering if someone could describe the algorthm, have pseudocode, code, a Java lib/Jar, or anything useful!


TIA if possible,
Dave

[David L. Wilson]

Post by d***@_dylan_.gov
Hi all,
I have been trying to find an algorithm for Least Absolute Deviation
regression, and have been having the hardest time. I am writing the
algorithm in Java. I am wondering if someone could describe the algorthm,
have pseudocode, code, a Java lib/Jar, or anything useful!

I have always ended up writing my own code looping through parameter values
and keeping track of what set gives the least absolute deviation as I go. I
have never found it in software though it certainly a good idea instead of
least-squares when outliers are a problem.