Robust methods of estimation of correlation coefficients (Q580298): Difference between revisions
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The estimation of the correlation coefficient of a bivariate normal distribution is considered for the case that the sample is ``contaminated'' with data that have a different distribution. A number of conventional robust algorithms are studied, and some new algorithms are proposed. Their properties are examined on finite samples and in the asymptotic case. These algorithms can be used in robust estimation of the covariance matrices and the correlation functions of stochastic processes. | |||
Property / review text: The estimation of the correlation coefficient of a bivariate normal distribution is considered for the case that the sample is ``contaminated'' with data that have a different distribution. A number of conventional robust algorithms are studied, and some new algorithms are proposed. Their properties are examined on finite samples and in the asymptotic case. These algorithms can be used in robust estimation of the covariance matrices and the correlation functions of stochastic processes. / rank | |||
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Property / Mathematics Subject Classification ID: 93E10 / rank | |||
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Property / Mathematics Subject Classification ID: 62F35 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 93E25 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65C99 / rank | |||
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Property / zbMATH DE Number: 4016737 / rank | |||
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correlation coefficient | |||
Property / zbMATH Keywords: correlation coefficient / rank | |||
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bivariate normal distribution | |||
Property / zbMATH Keywords: bivariate normal distribution / rank | |||
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robust algorithms | |||
Property / zbMATH Keywords: robust algorithms / rank | |||
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robust estimation | |||
Property / zbMATH Keywords: robust estimation / rank | |||
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covariance matrices | |||
Property / zbMATH Keywords: covariance matrices / rank | |||
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Revision as of 18:38, 1 July 2023
scientific article
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English | Robust methods of estimation of correlation coefficients |
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Robust methods of estimation of correlation coefficients (English)
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1987
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The estimation of the correlation coefficient of a bivariate normal distribution is considered for the case that the sample is ``contaminated'' with data that have a different distribution. A number of conventional robust algorithms are studied, and some new algorithms are proposed. Their properties are examined on finite samples and in the asymptotic case. These algorithms can be used in robust estimation of the covariance matrices and the correlation functions of stochastic processes.
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correlation coefficient
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bivariate normal distribution
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robust algorithms
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robust estimation
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covariance matrices
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