Duality in robust linear regression using Huber's M-estimator

DOI10.1016/S0893-9659(97)00061-XMaRDI QIDQ1372307zbMATH OpenOpenAlexFDO

Authors J. Ning

Publication date 12 November 1997

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0893-9659(97)00061-x

zbMATH Keywords

robust regressionLagrangean dualityHuber's M-estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Quadratic programming (90C20) Robustness and adaptive procedures (parametric inference) (62F35)

Recommendations

• Duality results and proximal solutions of the Huber M-estimator problem
• The Linear l₁ Estimator and the Huber M-Estimator
• On Newton's method for Huber's robust M-estimation problems in linear regression

Cites work

• scientific article; zbMATH DE number 3686582 (Why is no real title available?)
• scientific article; zbMATH DE number 3365044 (Why is no real title available?)
• A new algorithm for the Huber estimator in linear models
• An extension of Karmarkar's projective algorithm for convex quadratic programming
• Finite Algorithms for Huber’sM-Estimator
• Finite algorithms for robust linear regression
• Inertia-Controlling Methods for General Quadratic Programming
• New characterizations of \(\ell_ 1\) solutions to overdetermined systems of linear equations
• Numerical Methods for Robust Regression: Linear Models
• Robust Statistics
• Robust regression using iteratively reweighted least-squares
• Robust regression: Asymptotics, conjectures and Monte Carlo
• Symmetric indefinite systems for interior point methods
• The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data
• The Mathematical Structure of Huber’s M-Estimator

Cited in

(6)

• Linear Huber M-estimator under ellipsoidal data uncertainty
• Computational aspects of primal dual proximal algorithms for M-estimation with constraints
• Necessary and Sufficient Conditions for Noiseless Sparse Recovery via Convex Quadratic Splines
• THE DUALS OF SOME REGRESSION METHODS
• Robustness of dual divergence estimators for models satisfying linear constraints
• Duality results and proximal solutions of the Huber M-estimator problem

Describes a project that uses

Uses Software

• LSSOL
• Octave

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