Heteroscedastic Projection Based M-Estimators

Robust regression methods, such as RANSAC, suffer from a sensitivity to the scale parameter used for generating the inlier-outlier dichotomy. Projection based M-estimators (pbM) offer a solution to this by reframing the regression problem in a projection pursuit framework. In this paper we modify the pbM formulation to obtain an improved pbM algorithm. Furthermore, the modified algorithm is easily generalized to handle heteroscedastic data . The superior performance of heteroscedastic pbM, as compared to simple pbM, is experimentally verified.