Bandlimited regression

Bandlimited regression is a method for producing regression estimates that are robust against correlation, instead of the more conventional robust estimates that are robust against departures from normality. Bandlimited regression produces less-biased estimates of the coefficient variances. A number of examples demonstrating the superiority of bandlimited regression over other methods, such as the Cochrane-Orcutt method are presented. A method combining robustness against correlation with leverage balancing is described; these estimates result from finding the stationary points of a nonpositive-definite penalty function