New algorithms for M-estimation of multivariate scatter and location

DOI10.1016/J.JMVA.2015.11.009zbMATH Open1328.62334arXiv1312.6489OpenAlexW2177061468WikidataQ109772913 ScholiaQ109772913MaRDI QIDQ901290FDOQ901290

Lutz Dümbgen, Heike Schuhmacher, Klaus Nordhausen

Publication date: 23 December 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: We present new algorithms for $M$-estimators of multivariate scatter and location and for symmetrized $M$-estimators of multivariate scatter. The new algorithms are considerably faster than currently used fixed-point and related algorithms. The main idea is to utilize a second order Taylor expansion of the target functional and to devise a partial Newton-Raphson procedure. In connection with symmetrized $M$-estimators we work with incomplete $U$-statistics to accelerate our procedures initially.

Full work available at URL: https://arxiv.org/abs/1312.6489

zbMATH Keywords

Newton-Raphson algorithmmatrix exponential functionTaylor expansionfixed-point algorithm

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Cites Work

• Title not available (Why is that?)
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• On Tyler's \(M\)-functional of scatter in high dimension
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Cited In (14)

• Multivariate τ-Estimators for Location and Scatter
• Non-Gaussian Component Analysis: Testing the Dimension of the Signal Subspace
• \(M\)-functionals of multivariate scatter
• A review of Tyler's shape matrix and its extensions
• Robustly fitting Gaussian graphical models -- the R package robFitConGraph
• A robust deterministic affine-equivariant algorithm for multivariate location and scatter
• Tyler's and Maronna's M-estimators: non-asymptotic concentration results
• Gini covariance matrix and its affine equivariant version
• The flood algorithm -- a multivariate, self-organizing-map-based, robust location and covariance estimator
• On the Computation of Symmetrized M-Estimators of Scatter
• Inference and mixture modeling with the elliptical Gamma distribution
• Approximating symmetrized estimators of scatter via balanced incomplete \(U\)-statistics
• Robust sparse covariance estimation by thresholding Tyler's M-estimator
• M-estimation with incomplete and dependent multivariate data

Uses Software

• R
• MASS (R)
• ICSNP
• ICS
• fastM

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