Shape bias of robust covariance estimators: an empirical study

DOI10.1007/s00362-013-0544-8zbMath1283.62116OpenAlexW2012900043MaRDI QIDQ2442689

Peter J. Rousseeuw, Mia Hubert, Kaveh Vakili

Publication date: 1 April 2014

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-013-0544-8

zbMATH Keywords

outlier identificationrobust estimationmultivariate estimation

Mathematics Subject Classification ID

Related Items (5)

The DetS and DetMM estimators for multivariate location and scatter ⋮ The FastHCS algorithm for robust PCA ⋮ Robust estimation of precision matrices under cellwise contamination ⋮ Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination ⋮ Discussion of: ``The power of monitoring: how to make the most of a contaminated multivariate sample

Uses Software

• robustbase
• ROBPCA
• rrcov
• robustX
• mvBACON

Cites Work

• Unnamed Item
• The influence function of the Stahel-Donoho covariance estimator of smallest outlyingness
• An adjusted boxplot for skewed distributions
• BACON: blocked adaptive computationally efficient outlier nominators.
• Least Median of Squares Regression
• Stability of principal component analysis studied by the bootstrap method
• The maximum bias of robust covariances
• Identification of Outliers in Multivariate Data
• The Behavior of the Stahel-Donoho Robust Multivariate Estimator
• Robust Statistics
• Principal Components Analysis Based on Multivariate MM Estimators With Fast and Robust Bootstrap

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