robust estimators of location least median of squares stochastic approximation algorithm Monte - Carlo study
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Pliska Studia Mathematica Bulgarica, Vol. 17, No 1, (2005), 323p-335p
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.