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Pré-Publication, Document De Travail Année : 2018

A Stochastic Algorithm for M-estimator Computation

Résumé

Most of statistical procedures consist in estimating parameters by minimizing (or maximizing) some criterion, a minimizing parameter is also called in the statistical literature M-estimator. So to compute an M-estimator consists in finding a global minimum. Depending on the statistical problem and the available information, the criterion to minimize may be more or less complicated: non convex, no gradient, non smooth etc... Moreover, generally only evaluations of the criterion are reachable. Thus, it can be difficult in practice to compute a M-estimator. We propose a new procedure to compute a global minimum, using a stochastic algorithm to take advantage of various smooth versions of the criterion.
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Dates et versions

hal-00564602 , version 1 (09-02-2011)
hal-00564602 , version 2 (14-08-2012)
hal-00564602 , version 3 (03-10-2018)

Identifiants

  • HAL Id : hal-00564602 , version 3

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Nabil Rachdi, Jean-Claude Fort. A Stochastic Algorithm for M-estimator Computation. 2018. ⟨hal-00564602v3⟩
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