Fast algorithms for computing high breakdown covariance matrices with missing data

MaRDI QIDQ5290289zbMATH OpenFDO

Authors Samuel Copt, Maria-Pia Victoria-Feser

Publication date 28 April 2006

zbMATH Keywords

\(C\)-step algorithmminimum covariance determinantorthogonalized Gnanadesikan-Kettering robust estimatoroutliers, \(S\)-estimators

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Estimation in multivariate analysis (62H12)

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(9)

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• Expectation-robust algorithm and estimating equations for means and dispersion matrix with missing data
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• scientific article; zbMATH DE number 18879 (Why is no real title available?)
• Discussion of: ``The power of monitoring: how to make the most of a contaminated multivariate sample
• Minimum covariance determinant and extensions
• The Cellwise Minimum Covariance Determinant Estimator
• CellMCD+: an improved outlier-resistant cellwise minimum covariance determinant method
• A generalization of Tyler's M-estimators to the case of incomplete data

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