Shape bias of robust covariance estimators: an empirical study

DOI10.1007/S00362-013-0544-8MaRDI QIDQ2442689zbMATH OpenOpenAlexFDO

Authors Mia Hubert, Peter Rousseeuw, 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

multivariate estimationoutlier identificationrobust estimation

Mathematics Subject Classification ID

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

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• The Behavior of the Stahel-Donoho Robust Multivariate Estimator
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Cites work

• An adjusted boxplot for skewed distributions
• BACON: blocked adaptive computationally efficient outlier nominators.
• scientific article; zbMATH DE number 194744 (Why is no real title available?)
• Identification of Outliers in Multivariate Data
• Least Median of Squares Regression
• Principal Components Analysis Based on Multivariate MM Estimators With Fast and Robust Bootstrap
• Robust Statistics
• Stability of principal component analysis studied by the bootstrap method
• The Behavior of the Stahel-Donoho Robust Multivariate Estimator
• The influence function of the Stahel-Donoho covariance estimator of smallest outlyingness
• The maximum bias of robust covariances

Cited in

(8)

• The DetS and DetMM estimators for multivariate location and scatter
• Robust estimation of precision matrices under cellwise contamination
• Discussion of: ``The power of monitoring: how to make the most of a contaminated multivariate sample
• The FastHCS algorithm for robust PCA
• Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination
• Generalized spherical principal component analysis
• Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
• Finite sample bias of robust estimators in segmentation of closely spaced structures: a comparative study

Describes a project that uses

Uses Software

• robustbase
• ROBPCA
• robustX
• rrcov
• mvBACON

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