Regression Estimation - Other Methods

Other Methods

Although the parameters of a regression model are usually estimated using the method of least squares, other methods which have been used include:

• Bayesian methods, e.g. Bayesian linear regression
• Percentage regression, for situations where reducing percentage errors is deemed more appropriate.
• Least absolute deviations, which is more robust in the presence of outliers, leading to quantile regression
• Nonparametric regression, requires a large number of observations and is computationally intensive
• Distance metric learning, which is learned by the search of a meaningful distance metric in a given input space.