Transcending The Least Squares

Abstract

The method of quasi-optimal weights provides a comprehensive, asymptotically optimal, transparent and flexible alternative to the least squares method. The optimality holds for a general non-linear, non-gaussian case.

Comments: 6 pages. v3: Gauss-Markov mentioned explicitly; fin. support updated. v2: factors N fixed; many fine-tunings; additions to references. The author would like this text not to contribute to perpetuation of the practice of anonymous peer review. The arXiv is just enough. http://www.inr.ac.ru/~ftkachov/projects/qow/transleastsquares.html