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A Comparison of Algorithms for the Multivariate L1-Median

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

Abstract

The L 1 -median is a robust estimator of multivariate location with good statistical properties. Several algorithms for computing the L 1 -median are available. Problem specific algorithms can be used, but also general optimization routines. The aim is to compare different algorithms with respect to their precision and runtime. This is possible because all considered algorithms have been implemented in a standardized manner in the open source environment R. In most situations, 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. Copyright Springer-Verlag 2012
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Suggested Citation

  • Fritz, H. & Filzmoser, P. & Croux, C., 2010. "A Comparison of Algorithms for the Multivariate L1-Median," Discussion Paper 2010-106, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:de7b455e-b8c6-4a6f-94aa-33838c4f3a77
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    References listed on IDEAS

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    1. Debruyne, Michiel & Hubert, Mia & Van Horebeek, Johan, 2010. "Detecting influential observations in Kernel PCA," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3007-3019, December.
    2. Daniel Gervini, 2008. "Robust functional estimation using the median and spherical principal components," Biometrika, Biometrika Trust, vol. 95(3), pages 587-600.
    3. Croux, Christophe & Ruiz-Gazen, Anne, 2005. "High breakdown estimators for principal components: the projection-pursuit approach revisited," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 206-226, July.
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    Cited by:

    1. Godichon-Baggioni, Antoine & Lu, Wei, 2024. "Online stochastic Newton methods for estimating the geometric median and applications," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
    2. Filzmoser, P. & Höppner, S. & Ortner, I. & Serneels, S. & Verdonck, T., 2020. "Cellwise robust M regression," Computational Statistics & Data Analysis, Elsevier, vol. 147(C).
    3. Oluwasegun Taiwo Ojo & Antonio Fernández Anta & Rosa E. Lillo & Carlo Sguera, 2022. "Detecting and classifying outliers in big functional data," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 16(3), pages 725-760, September.
    4. C. Chatzinakos & L. Pitsoulis & G. Zioutas, 2016. "Optimization techniques for robust multivariate location and scatter estimation," Journal of Combinatorial Optimization, Springer, vol. 31(4), pages 1443-1460, May.

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    More about this item

    Keywords

    Algorithm; Multivariate median; Optimization; Robustness;
    All these keywords.

    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

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