The minimum regularized covariance determinant estimator

DOI10.1007/S11222-019-09869-XzbMath1436.62197arXiv1701.07086OpenAlexW2951441393WikidataQ128124091 ScholiaQ128124091MaRDI QIDQ92466

Peter J. Rousseeuw, Tim Verdonck, Peter J. Rousseeuw, Tim Verdonck, Steven Vanduffel, Leopoldo Catania

Publication date: 2 April 2019

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.07086

zbMATH Keywords

regularizationhigh-dimensional databreakdown valuecriminologyrobust covariance estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to social sciences (62P25) Robustness and adaptive procedures (parametric inference) (62F35) General nonlinear regression (62J02) Statistical aspects of big data and data science (62R07)

Related Items (17)

Mahalanobis distance based on minimum regularized covariance determinant estimators for high dimensional data ⋮ Testing equality of standardized generalized variances of \(k\) multivariate normal populations with arbitrary dimensions ⋮ Minimum regularized covariance determinant and principal component analysis-based method for the identification of high leverage points in high dimensional sparse data ⋮ Consistency factor for the MCD estimator at the Student-\(t\) distribution ⋮ Artificial intelligence in portfolio formation and forecast: Using different variance-covariance matrices ⋮ A robust Hotelling test statistic for one sample case in high dimensional data ⋮ The minimum weighted covariance determinant estimator for high-dimensional data ⋮ Principal component analysis and optimal portfolio ⋮ The minimum covariance determinant estimator for interval-valued data ⋮ rrcov ⋮ A two-stage Bayesian semiparametric model for novelty detection with robust prior information ⋮ Outlier detection in non-elliptical data by kernel MRCD ⋮ The power of monitoring: how to make the most of a contaminated multivariate sample ⋮ Outlyingness: which variables contribute most? ⋮ Outlier detection and robust variable selection via the penalized weighted LAD-LASSO method ⋮ Multidimensional outlier detection and robust estimation using S_n covariance ⋮ Outlier detection via a block diagonal product estimator

Uses Software

• robustbase
• glasso
• huge
• ROBPCA
• rrcov

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