A Comparison of Algorithms for the Multivariate L1-Median
AbstractThe L1-median is a robust estimator of multivariate location with good statistical properties. Several algorithms for computing the L1- median are available. Problem speci c algorithms can be used, but also general optimization routines. The aim is to compare di erent algorithms with respect to their precision and runtime. This is pos- sible because all considered algorithms have been implemented in a standardized manner in the open source environment R. In most sit- uations, the algorithm based on the optimization routine NLM (non- linear minimization) clearly outperforms other approaches. Its low computation time makes applications for large and high-dimensional data feasible.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2010-106.
Date of creation: 2010
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Algorithm; Multivariate median; Optimization; Robustness;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-23 (All new papers)
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