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A Comparison of Algorithms for the Multivariate L1-Median

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Author Info

  • Fritz, H.
  • Filzmoser, P.
  • Croux, C.

    (Tilburg University, Center for Economic Research)

Abstract

The 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 Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2010-106.

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Date of creation: 2010
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Handle: RePEc:dgr:kubcen:2010106

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Web page: http://center.uvt.nl

Related research

Keywords: Algorithm; Multivariate median; Optimization; Robustness;

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