Algorithms for non-linear Huber estimation

DOI10.1007/BF01932706MaRDI QIDQ1123583zbMATH OpenFDO

Authors Kaj Madsen, Hakan Ekblom

Publication date 1989

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01932706

zbMATH Keywords

algorithmsdata contaminationleast squares estimationnon-linear Huber estimationnon-linear robust parameter estimationregressiontrust region method

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) General nonlinear regression (62J02) Probabilistic methods, stochastic differential equations (65C99) Numerical smoothing, curve fitting (65D10)

Review text

The estimation of \textit{P. J. Huber} [Robust statistics (1981; Zbl 0536.62025)] is a modification of least squares estimation designed to reduce the influence of data contamination. Numerical determination of the estimate requires minimization of a sum of \(\rho (f_ j(x))\) where \(\rho\) is the Huber function, and \(f_ j\) are (in general non-linear) regression functions of the parameter vector x. The authors present and investigate algorithms for this task.

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Cites work

• A method for the solution of certain non-linear problems in least squares
• A new algorithm for the Huber estimator in linear models
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• Ein Verfahren zur Minimierung einer Quadratsumme nichtlinearer Funktionen
• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 3446326 (Why is no real title available?)
• Numerical Methods for Robust Regression: Linear Models
• Numerical methods for the nonlinear robust regression problem

Cited in

(12)

• A new algorithm for the Huber estimator in linear models
• Iteratively reweighted least squares: A comparison of several single step algorithms for linear models
• Algorithms for nonlinear M-estimation
• Huber approximation for the non-linear \(l_{1}\) problem
• Finite Algorithms for Huber’sM-Estimator
• Fitting Data with Errors in All Variables Using the Huber M-estimator
• scientific article; zbMATH DE number 1551912 (Why is no real title available?)
• Huberian function applied to neurodegenerative disorder gait rhythm
• AModified Multiple Matching Method Basedon Equipoise Pseudomulti-Channel Filter and Huber Norm
• Generation of test problems for L_p- and huber regression
• Preface
• Linear M-estimation with bounded variables

Describes a project that uses

Uses Software

• Algorithm 500

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