Please use this identifier to cite or link to this item: http://hdl.handle.net/10525/2292

 Title: Stochastic Optimization in Robust Statistic Authors: Vandev, D. Keywords: robust estimators of locationleast median of squaresstochastic approximation algorithmMonte - Carlo study Issue Date: 2005 Publisher: Institute of Mathematics and Informatics Bulgarian Academy of Sciences Citation: Pliska Studia Mathematica Bulgarica, Vol. 17, No 1, (2005), 323p-335p Abstract: The paper studies a stochastic optimization algorithm for computing of robust estimators of location proposed by Vandev (1992). A random approximation of the exact solution was proposed which is much cheaper in time and easy to program. Two examples are presented. Besides standard estimators of location like trimmed mean also robust regressions (LMS and LTS) introduced by Rousseeuw and Leroy are considered. MATLAB programs are included. Description: 2000 Mathematics Subject Classification: 62J05, 62G35 URI: http://hdl.handle.net/10525/2292 ISSN: 0204-9805 Appears in Collections: 2005 Volume 17

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