Iteratively reweighted least squares: A comparison of several single step algorithms for linear models

DOI10.1007/BF02074884MaRDI QIDQ1198981zbMATH OpenFDO

Authors Ralf Wolke

Publication date 16 January 1993

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02074884

zbMATH Keywords

\(\mathcal M\)-estimatorsHuber estimatoriteratively reweighted least squareslinear modelnumerical testsrobust estimatorssingle step algorithms

Mathematics Subject Classification ID

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

Review text

During the last 30 years many robust estimators as well as different algorithms for their computation have been suggested in the literature. A very important role among them plays the class of \(\mathcal M\)- estimators. In this interesting paper different known as well as new variants for single step algorithms are studied from a numerical point of view, where the iterations with respect to the parameter vector and the scale parameter alternate. Moreover, results of numerical tests are presented which show numerical efficiency of the studied methods.

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Cites work

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Cited in

(14)

• Minimum disparity computation via the iteratively reweighted least integrated squares algorithms
• Convergence behavior of an iterative reweighting algorithm to compute multivariate M-estimates for location and scatter
• A journey in single steps: robust one-step M-estimation in linear regression
• Iteratively Reweighted Least Squares for Models with a Linear Part
• Robust Regression Computation Using Iteratively Reweighted Least Squares
• Iteratively Reweighted Least Squares: Algorithms, Convergence Analysis, and Numerical Comparisons
• Selected algorithms for robust m- and L-regression estimators
• Erratum: The Simplex and Projective Scaling Algorithms as Iteratively Reweighted Least Squares Methods
• Influence Functions of Iteratively Reweighted Least Squares Estimators
• Robust registration of point sets using iteratively reweighted least squares
• Rank estimation of regression coefficients using iterated reweighted least squares
• The memory center
• Recursive robust regression computational aspects and comparison
• R-estimation in linear models: algorithms, complexity, challenges

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