Outlier detection and robust covariance estimation using mathematical programming

DOI10.1007/s11634-010-0070-7zbMath1284.62057OpenAlexW2050388238MaRDI QIDQ2442793

Roy E. Welsch, Tri-Dzung Nguyen

Publication date: 1 April 2014

Published in: Advances in Data Analysis and Classification. ADAC (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11634-010-0070-7

zbMATH Keywords

optimizationNewton-Raphson methodsemi-definite programmingrobust statisticsoutlier detectioncovariance matrix estimation

Mathematics Subject Classification ID

Computational methods for problems pertaining to operations research and mathematical programming (90-08)

Related Items

D-trace estimation of a precision matrix using adaptive lasso penalties

Uses Software

• SDPT3
• robustbase
• LIBRA

Cites Work

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• A well-conditioned estimator for large-dimensional covariance matrices
• RelaxMCD: smooth optimisation for the minimum covariance determinant estimator
• Propagation of outliers in multivariate data
• Applications of semidefinite programming
• Outlier detection and least trimmed squares approximation using semi-definite programming
• Least Median of Squares Regression
• Robust Linear Model Selection Based on Least Angle Regression
• Semidefinite Programming