Robust M estimation of parameters in a linear system

Abstract

In this paper, robust M-estimation of parameters in a linear system is studied. Some strict theoretical analysis and algorithm analysis about the linear system are given. The results show that the algorithm is simple, and the amount of computation is affected by the number of data is not very large. The results are much better than the least square estimation.

Keywords:

• Robust M-estimation
• Linear system
• Exchangeable random variables
• Least square method