DetMCD in a calibration framework

DOI10.1007/978-3-7908-2604-3_61MaRDI QIDQ3298520zbMATH OpenOpenAlexFDO

Authors Mia Hubert, Peter Rousseeuw, Tim Verdonck

Publication date 14 July 2020

Published in Proceedings of COMPSTAT'2010 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-7908-2604-3_61

zbMATH Keywords

outliersrobustnessdeterministic algorithmRPCRRSIMPLS

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

Recommendations

• The minimum regularized covariance determinant estimator
• RelaxMCD: smooth optimisation for the minimum covariance determinant estimator
• The feasible solution algorithm for the minimum covariance determinant estimator in multivariate data
• Small - sample correction factor of the minimum covariance determinant estimator
• The complexity of computing the MCD-estimator

Cites work

• Alternatives to the Median Absolute Deviation
• Least Median of Squares Regression
• Principal component regression for data containing outliers and missing elements
• Sign and rank covariance matrices

Cited in

(3)

• CDS calibration under an extended JDCEV model
• DetMCD
• Optimization techniques for multivariate least trimmed absolute deviation estimation

Describes a project that uses

Uses Software

• ROBPCA
• LIBRA

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