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

Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

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
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• An adjusted boxplot for skewed distributions
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• 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