New Algorithms for M-Estimation of Multivariate Scatter and Location
| Data(s) |
2016
31/12/1969
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|---|---|
| Resumo |
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. |
| Formato |
application/pdf application/pdf |
| Identificador |
http://boris.unibe.ch/73753/1/FasterMEst.pdf http://boris.unibe.ch/73753/8/1-s2.0-S0047259X15002778-main.pdf 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 <http://dx.doi.org/10.1016/j.jmva.2015.11.009> doi:10.7892/boris.73753 info:doi:10.1016/j.jmva.2015.11.009 urn:issn:0047-259X |
| Idioma(s) |
eng |
| Publicador |
Elsevier |
| Relação |
http://boris.unibe.ch/73753/ |
| Direitos |
info:eu-repo/semantics/embargoedAccess info:eu-repo/semantics/restrictedAccess |
| Fonte |
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 <http://dx.doi.org/10.1016/j.jmva.2015.11.009> |
| Palavras-Chave | #510 Mathematics |
| Tipo |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion PeerReviewed |
