Global Optimization of Redescending Robust Estimators

Abstract

Robust estimation has proved to be a valuable alternative to the least squares estimator for the cases where the dataset is contaminated with outliers. Many robust estimators have been designed to be minimally affected by the outlying observations and produce a good fit for the majority of the data. Among them, the redescending estimators have demonstrated the best estimation capabilities. It is little known, however, that the success of a robust estimation method depends not only on the robust estimator used but also on the way the estimator is computed. In the present paper, we show that for complicated cases, the predominant method of computing the robust estimator by means of an iteratively reweighted least squares scheme may result in a local optimum of significantly lower quality than the global optimum attainable by means of a global optimization method. Further, the sequential use of the proposed global robust estimation proves to successfully solve the problem of M-split estimation, that is, the determination of parameters of different functional models implicit in the data.