Computation of Huber's M-estimates for a block-angular regression problem

  • Chang X
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Abstract

Huber's M-estimation technique is applied to a block-angular regression problem, which may arise from some applications. A recursive, modified Newton approach to computing the estimates is presented. The structure of the problem is exploited to make the algorithm efficient. It is shown how to efficiently compute a descent search direction by using updating/downdating techniques for matrix factorizations. Numerical test results suggest that the proposed approach is effective. © 2005 Elsevier B.V. All rights reserved.

Author-supplied keywords

  • Block angular matrix
  • Huber's M-estimator
  • Least-squares estimator
  • Newton's method
  • Recursive estimators

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Authors

  • Xiao W. Chang

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