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Fast Algorithms for the Minimum Volume Estimator

S D Ahipasaoglu(ahipasaoglu***at***sutd.edu.sg)

Abstract: The MVE estimator is an important tool in robust regression and outlier detection in statistics. We develop fast and efficient algorithms for the MVE estimator problem and discuss how they can be implemented efficiently. The novelty of our approach stems from the recent developments in the first-order algorithms for solving the related Minimum Volume Enclosing Ellipsoid problem. Comparative computational results are provided which demonstrate the strength of the algorithms.

Keywords: Minimum Volume Estimator, Outlier Detection, Robust Regression

Category 1: Applications -- Science and Engineering (Statistics )

Category 2: Global Optimization

Category 3: Integer Programming ((Mixed) Integer Nonlinear Programming )

Citation:

Download: [PDF]

Entry Submitted: 08/13/2014
Entry Accepted: 08/14/2014
Entry Last Modified: 08/13/2014

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