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

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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.




Chang, X. W. (2006). Computation of Huber’s M-estimates for a block-angular regression problem. Computational Statistics and Data Analysis, 50(1 SPEC. ISS.), 5–20.

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