Minimizations by least squares or by least absolute deviations are well known criteria in regression modeling. In this work the criterion of generalized mean by powered deviations is suggested. If the parameter of the generalized mean equals one or two, the fitting corresponds to the least absolute or the least squared deviations, respectively. Varying the power parameter yields an optimum value for the objective with a minimum possible residual error. Estimation of a most favorable value of the generalized mean parameter shows that it almost does not depend on data. The optimal power always occurs to be close to 1.7, so these powered deviations should be used for a better regression fit.
"Optimal Lp-Metric for Minimizing Powered Deviations in Regression,"
Journal of Modern Applied Statistical Methods: Vol. 6
, Article 20.
Available at: http://digitalcommons.wayne.edu/jmasm/vol6/iss1/20