Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination

DOI10.1007/S11749-015-0450-6zbMATH Open1326.62111arXiv1406.6031OpenAlexW1762102136MaRDI QIDQ497850FDOQ497850

Authors: Claudio Agostinelli, Andy Leung, Ruben H. Zamar, Victor J. Yohai 

Publication date: 25 September 2015

Published in: Test (Search for Journal in Brave)

Abstract: Multivariate location and scatter matrix estimation is a cornerstone in multivariate data analysis. We consider this problem when the data may contain independent cellwise and casewise outliers. Flat data sets with a large number of variables and a relatively small number of cases are common place in modern statistical applications. In these cases global down-weighting of an entire case, as performed by traditional robust procedures, may lead to poor results. We highlight the need for a new generation of robust estimators that can efficiently deal with cellwise outliers and at the same time show good performance under casewise outliers.

Full work available at URL: https://arxiv.org/abs/1406.6031

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zbMATH Keywords

robust estimationmultivariate data analysiscellwise contaminationmultivariate location and scatter

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric robustness (62G35)

Cites Work

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Cited In (37)

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Uses Software

• robustbase

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