On the Computation of Symmetrized M-Estimators of Scatter
Miettinen, J., Nordhausen, K., Taskinen, S., & Tyler, D. E. (2016). On the Computation of Symmetrized M-Estimators of Scatter. In C. Agostinelli, A. Basu, P. Filzmoser, & D. Mukherjee (Eds.), Recent Advances in Robust Statistics : Theory and Applications (pp. 151-167). Springer India. https://doi.org/10.1007/978-81-322-3643-6_8
Date
2016Copyright
© Springer India 2016
This paper focuses on the computational aspects of symmetrized Mestimators
of scatter, i.e. the multivariate M-estimators of scatter computed on the
pairwise differences of the data. Such estimators do not require a location estimate,
and more importantly, they possess the important block and joint independence
properties. These properties are needed, for example, when solving the independent
component analysis problem. Classical and recently developed algorithms for
computing the M-estimators and the symmetrized M-estimators are discussed. The
effect of parallelization is considered as well as new computational approach based
on using only a subset of pairwise differences. Efficiencies and computation time
comparisons are made using simulation studies under multivariate elliptically symmetric
models and under independent component models.
Publisher
Springer IndiaISBN
978-81-322-3641-2Parent publication ISBN
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Recent Advances in Robust Statistics : Theory and ApplicationsKeywords
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