A comparison of algorithms for the multivariate L (1)-median

作者：Fritz Heinrich^*; Filzmoser Peter; Croux Christophe

来源：Computational Statistics, 2012, 27(3): 393-410.

DOI：10.1007/s00180-011-0262-4

• Algorithm
• Multivariate median
• Optimization
• Robustness

The L (1)-median is a robust estimator of multivariate location with good statistical properties. Several algorithms for computing the L (1)-median are available. Problem specific algorithms can be used, but also general optimization routines. The aim is to compare different algorithms with respect to their precision and runtime. This is possible because all considered algorithms have been implemented in a standardized manner in the open source environment R. In most situations, the algorithm based on the optimization routine NLM (non-linear minimization) clearly outperforms other approaches. Its low computation time makes applications for large and high-dimensional data feasible.

• 出版日期2012-9
• 单位KU Leuven