A very simple Robust estimator of a dispersion matrix

Computational Statistics and Data Analysis

Volumn 21, Issue 2, 1996, Pages 149-162

  Ruiz Gazen, Anne ^a  

^a CNRS   (France)

Author keywords

Dispersion matrix; M estimator; Minimum volume ellipsoid estimator; Outlier; Robust estimation

Indexed keywords

EID: 0001809110     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-9473(95)00009-7     Document Type: Article

References (14)

1. Campbell, N.A., Robust procedures in multivariate analysis: I, robust covariance estimation, Appl. Statist., 29 (1980) 231-237.
2. Caussinus, H. and A. Ruiz, Interesting projections of multidimensional data by means of generalized principal component analyses, COMPSTAT 90, (Physica-Verlag, Heidelberg, 1990) 121-126.
3. Hampel, F.R., E.M. Ronchetti, P.J. Rousseeuw and W.A. Stahel, Robust statistics (Wiley, New York, 1986).
4. Hawkins, D.M., D. Bradu and G.V. Kass, Location of several outliers in multiple regression data using elemental subsets, Technometrics, 26 (1984) 197-208.
5. Huber, P.J. Robust statistics, (Wiley, New York, 1981).
6. Kent, J.T. and D.E. Tyler, Redescending M-estimates of multivariate location and scatter, Ann. Statist., 19 (1991) 2102-2119.
7. Lischer, P., Sources, propagation and control of error in soil monitoring, in: R. Schulin, A. Desaules, R. Webster and B. von Steiger (Eds.), Soil monitoring: early detection and surveying of soil contamination and degradation, (Birkhäuser Verlag, 1993).
8. Maronna, R.A., Robust M-estimators of multivariate location and scatter, Ann. Statist., 4 (1976) 51-67.
9. o 6, Lausanne, Institut Universitaire de Médecine Sociale et Préventive, (1985).
10. Meshalkin, L.D., Approximation of multidimensional densities by normal distributions, Proc. 7th Internat. Biometric Conf., Hannover (1970).
11. Rousseeuw, P.J., Multivariate estimation with high breakdown point, in: W. Grossmann, G. Pflug, I. Vincze and W. Wertz (Eds.), Mathematical statistics and applications. Vol. B, (Reidel, Dordrecht, 1985) 283-297.
12. Rousseeuw, P.J. and B.C. Van Zomeren, Unmasking multivariate outliers and leverage points, J. Amer. Statist. Assoc., 85 (1990) 411, 633-639.
13. Ruiz-Gazen, A., Estimation robuste d'une matrice de dispersion et Projections révélatrices, Thèse de l'Université Paul Sabatier, Toulouse, France (1993).
14. Tyler D.E., Some results on the existence, uniqueness and computation of the M-estimates of multivariate location and scatter, SIAM J. Sci. Statist. Comput., 9 (1988) 353-362.