The minimum weighted covariance determinant estimator revisited

DOI10.1080/03610918.2020.1725818zbMath1497.62128OpenAlexW3006598218MaRDI QIDQ5867429

Jan Kalina

Publication date: 14 September 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2020.1725818

zbMATH Keywords

robustnesssimulationsmultivariate dataconsistency factorimplicit weighting

Mathematics Subject Classification ID

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

Related Items

The minimum weighted covariance determinant estimator for high-dimensional data

Uses Software

• R

Cites Work

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• Semiparametrically weighted robust estimation of regression models
• On the least trimmed squares estimator
• The minimum weighted covariance determinant estimator
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• On the uniqueness of \(S\)-functionals and \(M\)-functionals under nonelliptical distributions.
• On consistency factors and efficiency of robust \(S\)-estimators
• Methods of Multivariate Analysis
• Outlier detection for high-dimensional data
• Robust Statistical Methods with R
• Common multivariate estimators of location and scatter capture the symmetry of the underlying distribution