scientific article; zbMATH DE number 18879

MaRDI QIDQ3976294zbMATH OpenFDO

Authors Alfio Marazzi

Publication date 26 June 1992

zbMATH Keywords

collinear datacovariance matrixfixed point algorithmnumerical examplepseudorankQR decompositionrobust estimation

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Probabilistic methods, stochastic differential equations (65C99)

Review text

[For the entire collection see Zbl 0732.00019.] The solution of the following equation for a \(p\times p\) matrix \(A: (1/n)\sum^ n_{i=1} u(| Ax_ i|)Ax_ i(Ax_ i)^ T=I_ p\) is considered. Here \(x_ i=(x_{i1},x_{i2},\ldots,x_{ip})^ T\) are \(p\)-variate observation vectors, \(u\) is a given weight function, \(I_ p\) is the \(p\times p\) identity matrix. The problem arises within the affinely invariant approach for the robust estimation of a covariance matrix. The known algorithms for solving this problem include Newton-like and conjugate gradient procedures. But these algorithms do not work properly if the columns of the matrix \(Y=\hbox{diag}(\sqrt{u(| Ax_ i| ))}X\) become nearly collinear during the iterations. A simple modification of the fixed point algorithm is presented which determines the pseudorank \(k\leq p\) of \(Y\) by means of the QR decomposition with column pivoting. A numerical example is given.

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Cited in

(1)

• Algorithms for the computation of weights in bounded influence regression

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