New algorithms for M-estimation of multivariate scatter and location

Lutz Dümbgen, Klaus Nordhausen and Heike Schuhmacher

Journal of Multivariate Analysis, 2016, vol. 144, issue C, 200-217

Abstract: 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.

Keywords: Fixed-point algorithm; Matrix exponential function; Newton–Raphson algorithm; Taylor expansion (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.jmva.2015.11.009

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