Why Is the Least Square Error Method Dangerous?

Vaclav Skala, Edward Kansa


This contribution shortly describes some”dangerous” features of the Least Square Error (LSE)methods, which are not generally known, but often usedin applications, and researchers are not aware of those.The LSE is usually used in approximations of acquireddata to find ”the best fit” of the data, especially also infinancial economics and related fields. However, the LSE method is not invariant to somestandard basic operations used within a solution of alinear system of equations.


Least square error, system of linear equations, numerical mathematics, over determined system, invariant operations

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