New algorithms for M-estimation of multivariate scatter and location.
Journal of Multivariate Analysis(2016)
摘要
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.
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关键词
62H12,65C60
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