Stochastic Optimization in Robust Statistic
| Data(s) |
26/01/2014
26/01/2014
2005
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|---|---|
| Resumo |
2000 Mathematics Subject Classification: 62J05, 62G35 The paper studies a stochastic optimization algorithm for computing of robust estimators of location proposed by Vandev (1992). A random approximation of the exact solution was proposed which is much cheaper in time and easy to program. Two examples are presented. Besides standard estimators of location like trimmed mean also robust regressions (LMS and LTS) introduced by Rousseeuw and Leroy are considered. MATLAB programs are included. Partialy supported by Pro-ENBIS GTC1 -2001-43031 |
| Identificador |
Pliska Studia Mathematica Bulgarica, Vol. 17, No 1, (2005), 323p-335p 0204-9805 |
| Idioma(s) |
en |
| Publicador |
Institute of Mathematics and Informatics Bulgarian Academy of Sciences |
| Palavras-Chave | #robust estimators of location #least median of squares #stochastic approximation algorithm #Monte - Carlo study |
| Tipo |
Article |
