Weighted likelihood estimation of multivariate location and scatter

DOI10.1007/S11749-018-0596-0MaRDI QIDQ2273177zbMATH OpenOpenAlexWikidataFDO

Authors Claudio Agostinelli, Luca Greco

Publication date 18 September 2019

Published in Test (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.05876

zbMATH Keywords

dimensionality reductiondiscriminant analysisMahalanobis distancemultivariate normaloutlier detectionpcaPearson residualsrobustnessweighted likelihood

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Nonparametric robustness (62G35) Factor analysis and principal components; correspondence analysis (62H25) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

Abstract: A novel approach to obtain weighted likelihood estimates of multivariate location and scatter is discussed. A weighting scheme is proposed that is based on the distribution of the Mahalanobis distances rather than the distribution of the data at the assumed model. This strategy allows to avoid the curse of dimensionality affecting non-parametric density estimation, that is involved in the construction of the weights through the Pearson residuals Markatou et al (1998). Then, weighted likelihood based outlier detection rules and robust dimensionality reduction techniques are developed. The effectiveness of the methodology is illustrated through some numerical studies and real data examples.

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Cited in

(15)

• Weighted likelihood latent class linear regression
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Describes a project that uses

Uses Software

• R
• ROBPCA

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