0
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0answers
24 views

Identification of linear regression function under $\ell_1$-norm criterion.

Consider a linear system \begin{align*} y = \theta^Tx + e, \end{align*} where $x\in\mathbb{R}^n$ and $e\in\mathbb{R}$ are independent Gaussian random variables with distribution $\mathcal{N}(0,I_n)$ ...
0
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1answer
2k views

Can someone explain what plim is?

In my Introductory Econometrics class we discussed a concept of "plim" or "probability limit. I'm not sure what this means though and my professor doesn't explain it well at all. Can someone tell me ...
10
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3answers
1k views

Best fit ellipsoid

Given a collection of points $P \subset \mathbb R^3$, a crude characterization of the "shape" of $P$ is sometimes given by the principal components. We construct a covariance matrix, e.g., if $P$ is ...