Abstract
The least trimmed squares estimator (LTS) is a well known robust estimator in terms of protecting the estimate from the outliers. Its high computational complexity is however a problem in practice. We show that the LTS estimate can be obtained by a simple algorithm with the complexity 0( N In N) for large N, where N is the number of measurements. We also show that though the LTS is robust in terms of the outliers, it is sensitive to the inliers. The concept of the inliers is introduced. Moreover, the Generalized Least Trimmed Squares estimator (GLTS) together with its solution are presented that reduces the effect of both the outliers and the inliers.
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This work was supported in part by NSF ECS — 9710297 and ECS — 0098181.
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Bai, E. Outliers, inliers and the generalized least trimmed squares estimator in system identification. J. Control Theory Appl. 1, 17–27 (2003). https://doi.org/10.1007/s11768-003-0004-4
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DOI: https://doi.org/10.1007/s11768-003-0004-4