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A new algorithm for the huber estimator in linear models

  • Part II Numerical Mathematics
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Abstract

This paper considers algorithms for solving the linear robust regression problem by minimizing the Huber function. In the computational methods for this problem used so far, the scale estimate is adjusted separately. The new algorithm, based on Newton's method, treats both the scale and the location parameters as independent variables. The special form of the Hessian allows for an efficient updating scheme.

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  1. Luleå University, 95187, Luleå, Sweden

    Håkan Ekblom

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  1. Håkan Ekblom
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Ekblom, H. A new algorithm for the huber estimator in linear models. BIT 28, 123–132 (1988). https://doi.org/10.1007/BF01934700

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  • DOI: https://doi.org/10.1007/BF01934700

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