Convergence behavior of an iterative reweighting algorithm to compute multivariate M-estimates for location and scatter

DOI10.1016/S0378-3758(02)00402-0zbMath1031.62041MaRDI QIDQ1416476

Olcay Arslan

Publication date: 14 December 2003

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

EM algorithmRobustnessIterative reweighting algorithmM Estimates

Mathematics Subject Classification ID

Related Items (6)

Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm ⋮ Principle component analysis: robust versions ⋮ On the robustness properties for maximum likelihood estimators of parameters in exponential power and generalized T distributions* ⋮ Maximum Lq-likelihood Estimation in Functional Measurement Error Models ⋮ Reliable inference for complex models by discriminative composite likelihood estimation ⋮ Stochastic analysis of covariance when the error distribution is long-tailed symmetric

Cites Work

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• Constrained \(M\)-estimation for multivariate location and scatter
• Matrix Analysis
• Radial estimates and the test for sphericity
• Computable Robust Estimation of Multivariate Location and Shape in High Dimension Using Compound Estimators
• Convergence Behavior of the em algorithm for the multivariate t -distribution
• Iteratively Reweighted Partial Least Squares Estimation for Generalized Linear Regression
• A curious likelihood identity for the multivariate t-distribution
• Convergence Conditions for Nonlinear Programming Algorithms

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