Finite Algorithms for Robust Linear Regression

Kaj Madsen, Hans Bruun Nielsen

    Research output: Contribution to journalJournal articleResearchpeer-review

    Abstract

    The Huber M-estimator for robust linear regression is analyzed. Newton type methods for solution of the problem are defined and analyzed, and finite convergence is proved. Numerical experiments with a large number of test problems demonstrate efficiency and indicate that this kind of approach may be useful also in solving the l/sub 1 / problem
    Original languageEnglish
    JournalBIT
    Volume30
    Issue number4
    Pages (from-to)682-699
    Publication statusPublished - 1990

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