Robust estimation by expectation maximization algorithm

Abstract

A mixture of normal distributions is assumed for the observations of a linear model. The first component of the mixture represents the measurements without gross errors, while each of the remaining components gives the distribution for an outlier. Missing data are introduced to deliver the information as to which observation belongs to which component. The unknown location parameters and the unknown scale parameter of the linear model are estimated by the EM algorithm, which is iteratively applied. The E (expectation) step of the algorithm determines the expected value of the likelihood function given the observations and the current estimate of the unknown parameters, while the M (maximization) step computes new estimates by maximizing the expectation of the likelihood function. In comparison to Huber’s M-estimation, the EM algorithm does not only identify outliers by introducing small weights for large residuals but also estimates the outliers. They can be corrected by the parameters of the linear model freed from the distortions by gross errors. Monte Carlo methods with random variates from the normal distribution then give expectations, variances, covariances and confidence regions for functions of the parameters estimated by taking care of the outliers. The method is demonstrated by the analysis of measurements with gross errors of a laser scanner.