Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/36605 
Year of Publication: 
2008
Series/Report no.: 
Technical Report No. 2008,29
Publisher: 
Technische Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Abstract: 
A drawback of robust statistical techniques is the increased computational effort often needed compared to non robust methods. Robust estimators possessing the exact fit property, for example, are NP-hard to compute. This means thatunder the widely believed assumption that the computational complexity classes NP and P are not equalthere is no hope to compute exact solutions for large high dimensional data sets. To tackle this problem, search heuristics are used to compute NP-hard estimators in high dimensions. Here, an evolutionary algorithm that is applicable to different robust estimators is presented. Further, variants of this evolutionary algorithm for selected estimatorsmost prominently least trimmed squares and least median of squaresare introduced and shown to outperform existing popular search heuristics in difficult data situations. The results increase the applicability of robust methods and underline the usefulness of evolutionary computation for computational statistics.
Subjects: 
Evolutionary algorithms
robust regression
least trimmed squares (LTS)
least median of squares (LMS)
least quantile of squares (LQS)
least quartile difference (LQD)
Document Type: 
Working Paper

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