6533b852fe1ef96bd12ab936
RESEARCH PRODUCT
On the Computation of Symmetrized M-Estimators of Scatter
Klaus NordhausenJari MiettinenDavid E. TylerSara Taskinensubject
Computer scienceComputation05 social sciencesEstimatorMultivariate normal distributionM-estimators01 natural sciencesIndependent component analysisscatter010104 statistics & probabilityScatter matrix0502 economics and businessPairwise comparison0101 mathematicsAlgorithmIndependence (probability theory)050205 econometrics Block (data storage)description
This paper focuses on the computational aspects of symmetrized Mestimators of scatter, i.e. the multivariate M-estimators of scatter computed on the pairwise differences of the data. Such estimators do not require a location estimate, and more importantly, they possess the important block and joint independence properties. These properties are needed, for example, when solving the independent component analysis problem. Classical and recently developed algorithms for computing the M-estimators and the symmetrized M-estimators are discussed. The effect of parallelization is considered as well as new computational approach based on using only a subset of pairwise differences. Efficiencies and computation time comparisons are made using simulation studies under multivariate elliptically symmetric models and under independent component models. peerReviewed
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2016-01-01 |