A fast algorithm for S-regression estimates

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  2. A fast algorithm for S-regression estimates

A fast algorithm for S-regression estimates

TitleA fast algorithm for S-regression estimates
Publication TypeJournal Article
Year of Publication2006
AuthorsSalibian-Barrera, M, Yohai, VJ
JournalJOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS
Volume15
Pagination414-427
Date PublishedJUN
Type of ArticleArticle
ISSN1061-8600
Keywordshigh breakdown point, linear regression, Robustness
Abstract

Equivariant high-breakdown point regression estimates are computationally expensive, and the corresponding algorithms become unfeasible for moderately large number of regressors. One important advance to improve the computational speed of one such estimator is the fast-LTS algorithm. This article proposes an analogous algorithm for computing S-estimates. The new algorithm, that we call ``fast-S'', is also based on a ``local improvement'' step of the resampling initial candidates. This allows for a substantial reduction of the number of candidates required to obtain a good approximation to the optimal solution. We performed a simulation study which shows that S-estimators computed with the fast-S algorithm compare favorably to the LTS-estimators computed with the fast-LTS algorithm.
DOI10.1198/106186006X113629
Software

https://github.com/msalibian/Fast-S; https://cran.r-project.org/package=robustbase