Finite computation of the _1 estimator from Huber's M-estimator in linear regression
Finite computation of the \(\ell 1\) estimator from Huber's \(M\)-estimator in linear regression
The author reviews previous work on the approximation of linear \(\ell_1\) estimators by Huber's \(M\)-estimator based on the algorithms proposed by \textit{D. I. Clark} and \textit{M. R. Osborne} [SIAM J. Sci. Stat. Comput. 7, 72--85 (1986; Zbl 0593.65100)], and \textit{K. Madsen} and \textit{H. B. Nielsen} [BIT 30, 682--699 (1990; Zbl 0717.65118)]. It is pointed out that although the Madsen-Nielsen algorithm, essentially an extension of the Clark-Osborne algorithm, is a promising one, it is guaranteed to terminate finitely only under certain assumptions. Thus, an extension of the Madsen-Nielson algorithm is given and its finite termination property is proved without any assumptions. Summerized computational experience with the modified algorithm is also provided.
- The Linear l1 Estimator and the Huber M-Estimator
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- Finite Algorithms for Huber’sM-Estimator
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- Asymptotic linear expansion of regularized M-estimators
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- Limiting behavior of recursive \(M\)-estimators in multivariate linear regression models
- On Newton's method for Huber's robust M-estimation problems in linear regression
- Finite algorithms for robust linear regression
- The Mathematical Structure of Huber’s M-Estimator
- On the symmetry of m-estimators computed by the huber-dutter algorithm
- Finite Algorithms for Huber’sM-Estimator
- The Linear l1 Estimator and the Huber M-Estimator
- Computation of Huber's \(M\)-estimates for a block-angular regression problem
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