New Algorithms for M-Estimation of Multivariate Scatter and Location

Dümbgen, Lutz; Nordhausen, Klaus; Schuhmacher, Heike (2016). New Algorithms for M-Estimation of Multivariate Scatter and Location. Journal of multivariate analysis, 144, pp. 200-217. Elsevier 10.1016/j.jmva.2015.11.009

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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 related algorithms. The main idea is to utilize a second order Taylor expansion of the target functional and to devise a partial Newton-Raphson procedure. In connection with symmetrized M-estimators we work with incomplete U-statistics to accelerate our procedures initially.

Item Type:

Journal Article (Original Article)

Division/Institute:

08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science

UniBE Contributor:

Dümbgen, Lutz and Schuhmacher, Heike

Subjects:

500 Science > 510 Mathematics

ISSN:

0047-259X

Publisher:

Elsevier

Language:

English

Submitter:

Lutz Dümbgen

Date Deposited:

14 Dec 2015 10:55

Last Modified:

28 Nov 2017 02:30

Publisher DOI:

10.1016/j.jmva.2015.11.009

BORIS DOI:

10.7892/boris.73753

URI:

https://boris.unibe.ch/id/eprint/73753

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