具有稳健初值的选权迭代法

Method for Selecting Weight Iteration with Robust Initial Value

  • 摘要: 提出先采用线性规划来确定残差的初值,然后再进行选权迭代这样一种方法,其估计结果既具有线性规划的稳健性,又具有最小二乘的最优性。试验表明,这种基于线性规划的稳健估计具有很强的稳健性和检测粗差的能力,其计算结果与没有粗差时的最小二乘估计结果一致,且方法简单、可靠、实用。

     

    Abstract: Since the least squares estimates(LS) is not sensitive to gross errors,the estimation will be incorrect,especially there are several gross errors in the observed value.Being dead against this problem,a method of robust estimation that connects linear programming with least squares estimation is given.The residuals using Linear Programming were used as initial value to iterate calculation.Test results have shown that this method has the abilities to detect and restrain multi gross error.

     

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