Ordinary least squares是什么意思？

最新推荐文章于 2024-03-18 11:58:42 发布

caimouse

最新推荐文章于 2024-03-18 11:58:42 发布

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Ordinary Least Square是普通最小二乘法，简称OLS。是应用最多的参数估计方法，也是从最小二乘原理出发的其他估计方法的基础。

英语的解释：

In statistics, ordinary least squares (OLS) or linear least squares is a method for estimating the unknown parameters in a linear regression model, with the goal of minimizing the sum of the squares of the differences between the observed responses (values of the variable being predicted) in the given dataset and those predicted by a linear function of a set of explanatory variables. Visually this is seen as the sum of the squared vertical distances between each data point in the set and the corresponding point on the regression line – the smaller the differences, the better the model fits the data. The resulting estimator can be expressed by a simple formula, especially in the case of a single regressor on the right-hand side.
The OLS estimator is consistent when the regressors are exogenous, and optimal in the class of linear unbiased estimators when the errors are homoscedastic and serially uncorrelated. Under these conditions, the method of OLS provides minimum-variance mean-unbiased estimation when the errors have finite variances. Under the additional assumption that the errors are normally distributed, OLS is the maximum likelihood estimator.
OLS is used in fields as diverse as economics (econometrics), political science, psychology and electrical engineering (control theory and signal processing).

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