A new algorithm for the Huber estimator in linear models

DOI10.1007/BF01934700zbMath0642.65100MaRDI QIDQ1101199

Hakan Ekblom

Publication date: 1988

Published in: BIT (Search for Journal in Brave)

zbMATH Keywords

Newton's methodrobust regressionHuber estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99)

Related Items

Finite algorithms for robust linear regression ⋮ Duality in robust linear regression using Huber's \(M\)-estimator ⋮ Algorithms for non-linear Huber estimation ⋮ Recursive robust regression computational aspects and comparison ⋮ Iteratively reweighted least squares: A comparison of several single step algorithms for linear models ⋮ Generation of test problems for L_p- and huber regression ⋮ Newton's method for linear inequality systems

Uses Software

• LINPACK
• Algorithm 500

Cites Work

• Finite Algorithms for Huber’sM-Estimator
• Algorithms for Separable Nonlinear Least Squares Problems
• Numerical solution of robust regression problems: computational aspects, a comparison
• Numerical Methods for Robust Regression: Linear Models
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