Assessing the Quality of Ordinary Least Squares in General Lp Spaces
In the context of regression analysis, standard estimation techniques are dominated by the Ordinary Least Squares (OLS) method which yields unbiased, consistent, and efficient estimators when the classical assumptions are satisfied. However, the presence of outliers can significantly drag estimators away from their true parameters even when modeling with the OLS method. The OLS method is implicitly defined on L2 spaces, which implies that large residuals have a disproportionally large, i.e., squared, influence on the regression estimators.