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, 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: |
05 Dec 2022 14:50 |
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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