Re:Guide to Linear Regression (2015)
by hooloovoo_zoo on Thursday January 21, 2016 @07:00PM
(#10949601)
Even that normality is not required; see, for instance, https://en.wikipedia.org/wiki/Gauss%E2%80%93Markov_theorem.
Good catch. Outcome (or error, which boils down to the same thing) can't just be anything either, though, e.g. a common pattern is that the variance in an outcome increases when the predictor increases (e.g. a machine behaves more erratically when it spins faster) and that can mess with estimates.
In short: you can't just throw linear regression at anything and expect to get reasonable results, but it's pretty damn close.