The choice of ρ (·) is often based on robustness and computational considerations
(see, e.g., Li, 1985).
However, it is clear that different choices of ρ (·) will affect not
only the efficiency of the estimator and the convergence properties of the algorithm
used in the minimization of the objective function (see, e.g., Li, 1985), but, more
importantly, the interpretation of the estimates.
used in the minimization of the objective function (see, e.g., Li, 1985), but, more
importantly, the interpretation of the estimates.
The choice of ρ (·) is often based on robustness and computational considerations(see, e.g., Li, 1985).However, it is clear that different choices of ρ (·) will affect notonly the efficiency of the estimator and the convergence properties of the algorithmused in the minimization of the objective function (see, e.g., Li, 1985), but, moreimportantly, the interpretation of the estimates.used in the minimization of the objective function (see, e.g., Li, 1985), but, moreimportantly, the interpretation of the estimates.
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