New algorithms for M-estimation of multivariate scatter and location

作者：Duembgen Lutz; Nordhausen Klaus; Schuhmacher Heike

来源：Journal of Multivariate Analysis, 2016, 144: 200-217.

DOI：10.1016/j.jmva.2015.11.009

• Fixed-point algorithm
• Matrix exponential function
• Newton-Raphson algorithm
• Taylor expansion

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.

• 出版日期2016-2