New algorithms for M-estimation of multivariate scatter and location

JOURNAL OF MULTIVARIATE ANALYSIS

卷:144

Article

Duembgen, Lutz¹  Nordhausen, Klaus²  Schuhmacher, Heike¹ 

[1] Univ Bern, CH-3012 Bern, Switzerland

[2] Univ Turku, SF-20500 Turku, Finland

关键词: Fixed-point algorithm;    Matrix exponential function;    Newton-Raphson algorithm;    Taylor expansion;   

DOI  :  10.1016/j.jmva.2015.11.009

来源: Elsevier

【 摘 要 】

We present new algorithms for M-estimators of multivariate scatter and location and for symmetrized M-estimators of multivariate scatter. The new algorithms are considerably faster than currently used fixed-point and other algorithms. The main idea is to utilize a Taylor expansion of second order of the target functional and devise a partial Newton-Raphson procedure. In connection with symmetrized M-estimators we work with incomplete U-statistics to accelerate our procedures initially. (C) 2015 Elsevier Inc. All rights reserved.

【 授权许可】

Free