On the Loss Robustness of Least-Square Estimators

Authors
Ghosh Tamal Kubokawa Tatsuya Ghosh Malay
Citation
Ghosh Tamal et al., On the Loss Robustness of Least-Square Estimators, American statistician , 74(1), 2020, pp. 64-67
Journal title
American statistician → ACNP
ISSN journal
00031305
Volume
74
Issue
1
Year of publication
2020
Pages
64 - 67
Database
ACNP
SICI code
Abstract
The article revisits univariate and multivariate linear regression models. It is shown that least-square estimators (LSEs) are minimum risk estimators in general class of linear unbiased estimators under some general divergence loss. This amounts to the loss robustness of LSEs.