A Variant of Huber Robust Regression
In this paper, we develop a variant of Huber robust regression. Our approach is inspired by Huber's $M$ estimates; however, we deal with the scale estimate differently. The class of estimators we develop includes least squares and least absolute residuals as limiting cases and can be considered...
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| Veröffentlicht in: | SIAM journal on scientific and statistical computing 1984-09, Vol.5 (3), p.720-734 |
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| container_title | SIAM journal on scientific and statistical computing |
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| creator | Boncelet, Jr, Charles G. Dickinson, Bradley W. |
| description | In this paper, we develop a variant of Huber robust regression. Our approach is inspired by Huber's $M$ estimates; however, we deal with the scale estimate differently. The class of estimators we develop includes least squares and least absolute residuals as limiting cases and can be considered as a generalization of the trimmed mean to regression. We exhibit an algorithm to compute these estimates and prove its correctness. Also, we show how to extend our estimators to include weighting, equality and inequality constraints, and the addition or deletion of data points. |
| doi_str_mv | 10.1137/0905051 |
| format | Article |
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Our approach is inspired by Huber's $M$ estimates; however, we deal with the scale estimate differently. The class of estimators we develop includes least squares and least absolute residuals as limiting cases and can be considered as a generalization of the trimmed mean to regression. We exhibit an algorithm to compute these estimates and prove its correctness. Also, we show how to extend our estimators to include weighting, equality and inequality constraints, and the addition or deletion of data points.</abstract><cop>Philadelphia</cop><pub>Society for Industrial and Applied Mathematics</pub><doi>10.1137/0905051</doi><tpages>15</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0196-5204 |
| ispartof | SIAM journal on scientific and statistical computing, 1984-09, Vol.5 (3), p.720-734 |
| issn | 0196-5204 1064-8275 2168-3417 1095-7197 |
| language | eng |
| recordid | cdi_proquest_journals_921734582 |
| source | SIAM Journals Online |
| subjects | Algorithms Estimates Regression analysis |
| title | A Variant of Huber Robust Regression |
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