Algorithms for the Huber estimator in multiple regression

摘要

Several iterative procedures have been proposed and developed to solve numerically the problem of robust regression, in particular, of robust linear regression. The algorithms described here are modified versions of the “sophisticated method” given by Huber (1973, 8) which sometimes fail to converge. In this paper, the new algorithms are formulated and convergence proofs are given. The behavior of the procedures is illustrated by a numerical example and is compared to another (“simple”) al