Open AccessThe minimum weighted covariance determinant estimator
Author(s) -
Ella Roelant,
Stefan Van Aelst,
Gert Willems
Publication year - 2008
Publication title -
metrika
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.728
H-Index - 40
eISSN - 1435-926X
pISSN - 0026-1335
DOI - 10.1007/s00184-008-0186-3
Subject(s) - mathematics , estimator , mahalanobis distance , statistics , outlier , covariance , multivariate statistics , m estimator , weight function
In this paper, we introduce weighted estimators of the location and dispersion of a multivariate data set with weights based on the ranks of the Mahalanobis distances. We discuss some properties of the estimators like the breakdown point, influence function and asymptotic variance. The outlier detection capacities of different weight functions are compared. A simulation study is given to investigate the finite-sample behavior of the estimators
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom