Breakdown points of affine equivariant estimators of multivariate location and covariance matrices

DOI10.1214/AOS/1176347978zbMATH Open0733.62058OpenAlexW2136179595WikidataQ29301746 ScholiaQ29301746MaRDI QIDQ809505FDOQ809505

Hendrik P. Lopuhaä, Peter Rousseeuw

Publication date: 1991

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347978

zbMATH Keywords

outliersupper boundweighted meanlarge deviation probabilitiesS-estimatorsminimum volume ellipsoidtails of distributionsaffine equivariant estimatorsfinite-sample replacement breakdown pointlocation estimatormeasure of performanceone-step reweightingtranslation equivariant location estimatorweighted covariance

Mathematics Subject Classification ID

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

Cited In (only showing first 100 items - show all)

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• Asymptotics of reweighted estimators of multivariate location and scatter
• A robust method for cluster analysis
• On the optimality of S-estimators
• Robustness properties of \(S\)-estimators of multivariate location and shape in high dimension
• Robust covariance estimates based on resampling
• The largest nonidentifiable outlier: a comparison of multivariate simultaneous outlier identification rules.
• Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
• On the performance of some robust nonparametric location measures relative to a general notion of multivariate symmetry
• Projection-based depth functions and associated medians
• Large sample and robust properties of \(\widetilde {L} ^{2}\)-median
• Unconventional features of positive-breakdown estimators
• The symplectic camel and the uncertainty principle: the tip of an iceberg?
• A natural robustification of the ordinary instrumental variables estimator
• Semi-parametric modelling in finance: theoretical foundations
• Optimization techniques for robust multivariate location and scatter estimation
• Asymptotic expansion of the minimum covariance determinant estimators
• Robust Multivariate Outlier Labeling
• The multivariate least-trimmed squares estimator
• Robust estimation of Cronbach's alpha
• A comparison of algorithms for the multivariate \(L_1\)-median
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• Robust Hotelling's T²control charts under non-normality: the case oft-Student distribution
• Robust regression with compositional covariates including cellwise outliers
• The minimum weighted covariance determinant estimator
• Robust weighted orthogonal regression in the errors-in-variables model
• A comparison of robust alternatives to Hotelling’sT²control chart
• Highly efficient estimators of multivariate location with high breakdown point
• Robustness of the half-space median
• Breakdown and groups. (With discussions and rejoinder)
• Robust concentration graph model selection
• Highly robust estimation of dispersion matrices
• Robust and Scalable Bayes via a Median of Subset Posterior Measures
• Equivariance and invariance properties of multivariate quantile and related functions, and the role of standardisation
• The Breakdown Points of the Mean Combined with Some Rejection Rules
• Multidimensional trimming based on projection depth
• RDELA -- a Delaunay-triangulation-based, location and covariance estimator with high breakdown point
• The flood algorithm -- a multivariate, self-organizing-map-based, robust location and covariance estimator
• How bad can the centroid be?
• An L1-type estimator of multivariate location and shape
• Strong consistency and robustness of the forward search estimator of multivariate location and scatter
• The minimum regularized covariance determinant estimator
• Robustness and asymptotics of the projection median
• Finite sample breakdown of M- and P-estimators
• Nonparametric multivariate descriptive measures based on spatial quantiles
• Breakdown bounds and expected test resistance
• Trimmed and winsorized standard deviations based on a scaled deviation
• A weighted spatial median for clustered data
• On a robust and efficient maximum depth estimator
• The moment of inertia and the linear discriminant function
• Fast estimation of the median covariation matrix with application to online robust principal components analysis
• The sample breakdown points of tests
• An efficient Fréchet differentiable high breakdown multivariate location and dispersion estimator
• Some extensions of Tukey's depth function
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• Generalizing univariate signed rank statistics for testing and estimating a multivariate location parameter
• Central limit theorem and influence function for the MCD estimators at general multivariate distributions
• Some quantitative relationships between two types of finite sample breakdown point
• A robust and efficient adaptive reweighted estimator of multivariate location and scatter.
• Wild adaptive trimming for robust estimation and cluster analysis
• Outlier detection in the multiple cluster setting using the minimum covariance determinant estimator
• Sign and rank covariance matrices
• Evaluation of robust estimators applied to fluorescence assays
• High-breakdown robust multivariate methods
• Efficiency of the pMST and RDELA location and scatter estimators
• Propagation of outliers in multivariate data
• Nonparametric depth-based multivariate outlier identifiers, and masking robustness properties
• Breakdown properties of location estimates based on halfspace depth and projected outlyingness
• On M and P estimators that have breakdown point equal to 1/2
• Groups acting on Gaussian graphical models
• Two tests for multivariate normality based on the characteristic function
• Trimming and likelihood: Robust location and dispersion estimation in the elliptical model
• Robust Bootstrap with Non Random Weights Based on the Influence Function
• The \(k\)-step spatial sign covariance matrix
• On the use of robust estimators of multivariate location for heterogeneous data
• Computational Connections between Robust Multivariate Analysis and Clustering
• Robust algorithms for multiphase regression models
• On the measure of anchored Gaussian simplices, with applications to multivariate medians
• Multivariate spatial U-quantiles: A Bahadur-Kiefer representation, a Theil-Sen estimator for multiple regression, and a robust dispersion estimator
• Robustification of Gaussian Bayes classifier by the minimum \(\beta \)-divergence method
• A generalized spatial sign covariance matrix
• Finite sample breakdown point of Tukey's halfspace median
• A robust Hotelling test statistic for one sample case in high dimensional data
• Simple approximative algorithms for free-support Wasserstein barycenters
• The DetS and DetMM estimators for multivariate location and scatter
• Robust dependence modeling for high-dimensional covariance matrices with financial applications
• Title not available (Why is that?)
• A Hotelling Test Based on MCD
• A robust estimator of multivariate location based on projection
• Finite sample tail behaviour of hodges-lehmann type estimators
• MacroPCA: An All-in-One PCA Method Allowing for Missing Values as Well as Cellwise and Rowwise Outliers
• Modified minimum covariance determinant estimator and its application to outlier detection of chemical process data
• All-in-one robust estimator of the Gaussian mean
• An easy way to increase the finite-sample efficiency of the resampled minimum volume ellipsoid estimator
• Multivariate outlier detection based on a robust Mahalanobis distance with shrinkage estimators
• The Cellwise Minimum Covariance Determinant Estimator
• A robust deterministic affine-equivariant algorithm for multivariate location and scatter
• Outlier detection with Mahalanobis square distance: incorporating small sample correction factor
• A note on finite sample breakdown points of projection based multivariate location and scatter statistics.
• Wasserstein medians: robustness, PDE characterization, and numerics

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