The minimum regularized covariance determinant estimator
From MaRDI portal
Publication:92466
DOI10.1007/s11222-019-09869-xzbMath1436.62197arXiv1701.07086OpenAlexW2951441393WikidataQ128124091 ScholiaQ128124091MaRDI QIDQ92466
Peter J. Rousseeuw, Tim Verdonck, Peter J. Rousseeuw, Tim Verdonck, Steven Vanduffel, Leopoldo Catania
Publication date: 2 April 2019
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.07086
Estimation in multivariate analysis (62H12) Applications of statistics to social sciences (62P25) Robustness and adaptive procedures (parametric inference) (62F35) General nonlinear regression (62J02) Statistical aspects of big data and data science (62R07)
Related Items
Mahalanobis distance based on minimum regularized covariance determinant estimators for high dimensional data, Testing equality of standardized generalized variances of \(k\) multivariate normal populations with arbitrary dimensions, Minimum regularized covariance determinant and principal component analysis-based method for the identification of high leverage points in high dimensional sparse data, Consistency factor for the MCD estimator at the Student-\(t\) distribution, Artificial intelligence in portfolio formation and forecast: Using different variance-covariance matrices, A robust Hotelling test statistic for one sample case in high dimensional data, The minimum weighted covariance determinant estimator for high-dimensional data, Principal component analysis and optimal portfolio, rrcov, A two-stage Bayesian semiparametric model for novelty detection with robust prior information, Outlier detection in non-elliptical data by kernel MRCD, The power of monitoring: how to make the most of a contaminated multivariate sample, Outlyingness: which variables contribute most?, Outlier detection and robust variable selection via the penalized weighted LAD-LASSO method, Multidimensional outlier detection and robust estimation using Sn covariance, Outlier detection via a block diagonal product estimator
Uses Software
Cites Work
- Unnamed Item
- Sparse inverse covariance estimation with the graphical lasso
- A well-conditioned estimator for large-dimensional covariance matrices
- Central limit theorem and influence function for the MCD estimators at general multivariate distributions
- Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination
- Comments on: ``Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination
- Breakdown points of affine equivariant estimators of multivariate location and covariance matrices
- High-breakdown robust multivariate methods
- Outlier detection in the multiple cluster setting using the minimum covariance determinant estimator
- Fast and robust discriminant analysis
- A minimal characterization of the covariance matrix
- Tests for standardized generalized variances of multivariate normal populations of possibly different dimensions
- Asymptotics for the minimum covariance determinant estimator
- Exploring multivariate data with the forward search.
- Robust factor analysis.
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
- The multivariate least-trimmed squares estimator
- Least Median of Squares Regression
- Robust Linear Model Selection Based on Least Angle Regression
- Alternatives to the Median Absolute Deviation
- Principal component analysis based on robust estimators of the covariance or correlation matrix: influence functions and efficiencies
- The huge Package for High-dimensional Undirected Graph Estimation in R
- Condition-Number-Regularized Covariance Estimation
- Adjustment of an Inverse Matrix Corresponding to a Change in One Element of a Given Matrix
- An Inverse Matrix Adjustment Arising in Discriminant Analysis
