The finite sample breakdown point of PCS

DOI10.1016/J.SPL.2014.07.026MaRDI QIDQ467029zbMATH OpenOpenAlexFDO

Authors Viktoria Öllerer, Eric Schmitt, Kaveh Vakili

Publication date 3 November 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1402.2986, https://lirias.kuleuven.be/handle/123456789/459391

zbMATH Keywords

robust estimationbreakdown pointmultivariate statistics

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12)

Abstract: The Projection Congruent Subset (PCS) is new method for finding multivariate outliers. PCS returns an outlyingness index which can be used to construct affine equivariant estimates of multivariate location and scatter. In this note, we derive the finite sample breakdown point of these estimators.

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Cites work

• scientific article; zbMATH DE number 194744 (Why is no real title available?)
• scientific article; zbMATH DE number 1835269 (Why is no real title available?)
• scientific article; zbMATH DE number 5224144 (Why is no real title available?)
• A new projection estimate for multivariate location with minimax bias
• Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
• Bias-robust estimators of multivariate scatter based on projections
• Finding multivariate outliers with FastPCS
• Finite sample breakdown points of projection based multivariate location and scatter statistics
• Projection estimates of multivariate location
• Robust Statistics

Cited in

(3)

• The FastHCS algorithm for robust PCA
• Finding multivariate outliers with FastPCS
• The PCSE Estimator is Good -- Just Not As Good As You Think

Describes a project that uses

Uses Software

• FastPCS
• robustbase

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