论文信息 - Finite algorithms for Huber's m estimator

Finite algorithms for Huber's m estimator

Two finite algorithms for Huber's M-estimator are presented. Both proceed in a constructive manner by moving from one partition to an adjacent one. One of the algorithms, which uses the tuning constant as a continuation parameter, also has the facility to simultaneously estimate the tuning constant and scaling factor. Stable and efficient implementation of the algorithms is presented, together with numerical results.

M. R. Osborne | D. I. Clark

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