The place of the \(L_ 1\)-norm in robust estimation (Q1091694): Difference between revisions

In robust estimation, \(L_ 1\)-methods serve two main purposes: They provide estimates with minimal bias if the observations are asymmetrically contaminated, and they furnish convenient starting values for estimates based on iterative procedures. In general, such \(L_ 1\)- estimates are weighted ones, but there are problems with the choice of weights. It is pointed out that the two most popular choices of weights are non- robust: with constant weights, the estimates are sensitive to outliers at influential points, and with Hampel-Krasker-Welsch-type weights they are sensitive to local shifts. Other M-estimates of regression suffer from the same problem. Some recommendations for qualitative improvement are given.