The minimum weighted covariance determinant estimator

被引：18
|
作者：
Roelant, Ella [1 ]
Van Aelst, Stefan [1 ]
Willems, Gert [1 ]
机构：
[1] Univ Ghent, Dept Appl Math & Comp Sci, B-9000 Ghent, Belgium
来源：
METRIKA | 2009年 / 70卷 / 02期
关键词：
Robust estimation; Efficiency; Outlier detection; HIGH BREAKDOWN POINT; MULTIVARIATE LOCATION; SQUARES ESTIMATOR; S-ESTIMATORS; SCATTER; REGRESSION; MATRICES; EFFICIENCIES; DISPERSION;
D O I：
10.1007/s00184-008-0186-3
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we introduce weighted estimators of the location and dispersion of a multivariate data set with weights based on the ranks of the Mahalanobis distances. We discuss some properties of the estimators like the breakdown point, influence function and asymptotic variance. The outlier detection capacities of different weight functions are compared. A simulation study is given to investigate the finite-sample behavior of the estimators.
引用
收藏
页码：177 / 204
页数：28
相关论文
共 50 条
  • [1] The minimum weighted covariance determinant estimator
    Ella Roelant
    Stefan Van Aelst
    Gert Willems
    [J]. Metrika, 2009, 70
  • [2] The minimum weighted covariance determinant estimator revisited
    Kalina, Jan
    [J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2022, 51 (07) : 3888 - 3900
  • [3] The minimum weighted covariance determinant estimator for high-dimensional data
    Jan Kalina
    Jan Tichavský
    [J]. Advances in Data Analysis and Classification, 2022, 16 : 977 - 999
  • [4] The minimum weighted covariance determinant estimator for high-dimensional data
    Kalina, Jan
    Tichavsky, Jan
    [J]. ADVANCES IN DATA ANALYSIS AND CLASSIFICATION, 2022, 16 (04) : 977 - 999
  • [5] The Cellwise Minimum Covariance Determinant Estimator
    Raymaekers, Jakob
    Rousseeuw, Peter J.
    [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2023,
  • [6] The minimum regularized covariance determinant estimator
    Boudt, Kris
    Rousseeuw, Peter J.
    Vanduffel, Steven
    Verdonck, Tim
    [J]. STATISTICS AND COMPUTING, 2020, 30 (01) : 113 - 128
  • [7] Computation of the minimum covariance determinant estimator
    Pesch, C
    [J]. CLASSIFICATION IN THE INFORMATION AGE, 1999, : 225 - 233
  • [8] ASYMPTOTICS FOR THE MINIMUM COVARIANCE DETERMINANT ESTIMATOR
    BUTLER, RW
    DAVIES, PL
    JHUN, M
    [J]. ANNALS OF STATISTICS, 1993, 21 (03): : 1385 - 1400
  • [9] The minimum regularized covariance determinant estimator
    Kris Boudt
    Peter J. Rousseeuw
    Steven Vanduffel
    Tim Verdonck
    [J]. Statistics and Computing, 2020, 30 : 113 - 128
  • [10] A fast algorithm for the minimum covariance determinant estimator
    Rousseeuw, PJ
    Van Driessen, K
    [J]. TECHNOMETRICS, 1999, 41 (03) : 212 - 223
12345