Traditional Culture Encyclopedia - Traditional stories - What is M-estimation (data mining)
What is M-estimation (data mining)
Robust regression is M estimation, and the concept of robust estimation refers to the insensitivity of estimator to model error. The basic idea of M- estimation robust regression is to estimate the regression coefficient by iterative weighted least square method, and determine the weight wi of each point according to the size of regression residual, so as to achieve the purpose of robustness.
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