Theil–Sen estimator

Theil–Sen estimator

Jesse Russell Ronald Cohn

     

бумажная книга



ISBN: 978-5-5085-0836-4

High Quality Content by WIKIPEDIA articles! In non-parametric statistics, the Theil–Sen estimator, also known as Sen`s slope estimator,slope selection, the single median method, or the Kendall robust line-fit method, is a method for robust linear regression that chooses the median slope among all lines through pairs of two-dimensional sample points. It is named after Henri Theil and Pranab K. Sen, who published papers on this method in 1950 and 1968 respectively. It can be computed efficiently, and is insensitive to outliers; it can be significantly more accurate than simple linear regression for skewed and heteroskedastic data, and competes well against simple least squares even for normally distributed data. It has been called "the most popular nonparametric technique for estimating a linear trend".