Scalable robust covariance and correlation estimates for data mining

Proceedings of the ACM SIGKDD International Conference on Knowledge Discovery and Data Mining

Volumn , Issue , 2002, Pages 14-23

  Alqallaf, Fatemah A ^a   Konis, Kjell P ^b   Martin, R Douglas ^c   Zamar, Ruben H ^a  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^b Insightful Corporation   (United States)

^c UNIVERSITY OF WASHINGTON   (United States)

Author keywords

Data mining; Outliers; Robust estimators; Robust statistics; Scalable algorithm

Indexed keywords

ALGORITHMS; COMPUTATIONAL COMPLEXITY; CORRELATION METHODS; MATRIX ALGEBRA; PRINCIPAL COMPONENT ANALYSIS; QUADRATIC PROGRAMMING;

CORRELATION MATRIX; COVARIANCE ESTIMATE; QUADRATIC COMPLEXITY;

DATA MINING;

EID: 0242709398     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1145/775048.775050     Document Type: Conference Paper

References (20)

1. M. B. Adbullah. On a Robust Correlation Coefficient. In The Statistician, 39, pp. 455-460, 1990.
2. P. Davies. Asymptotic Behavior of S-Estimates of Multivariate Location Parameters and Dispersion Matrices. In The Annals of Statistics, 15, pp. 1269-1292, 1987.
3. S. J. Devlin, R. Gnanadesikan and J. R. Kettenring. Robust Estimation of Dispersion Matrices and Principal Components. In Journal of the American Statistical Association, 76, pp. 354-362, 1981.
4. D. L. Donoho. Breakdown Properties of Multivariate Location Estimators. Ph.D. Qualifying Paper. Dept. of Statistic, Harvard University, 1982.
5. R. Gnanadesikan and J. R. Kettenring. Robust Estimates, Residuals, and Outlier Detection with Multiresponse Data. In Biometrics, 28, pp. 81-124, 1972.
6. F. Hampel, P. Ronchetti, P. Rousseeuw and W. Stahel. Robust Statistics: The Approach Based on Influence Functions. John Wiley & Sons, 1986.
7. P. J. Huber. Robust Statistics. John Wiley & Sons, 1981.
8. G. S. Manku, S. Rajagopalan and B. Lindsay. Random Sampling Techniques for Space Efficient Online Computation of Order Statistics of Large Data Sets. In ACM SIGMOD Record, 28, 1999.
9. A. Marazzi and C. Ruffieux. Implementing M-Estimators of the Gamma Distribution, in Robust Statistics. Data Analysis and Computer Intensive Methods, in Honor of Peter J. Huber's 60th Birthday, Springer Verlag, 1996.
10. R. Maronna. Personal Communication. In International Conference on Robust Statistics, 2002.
11. R. Maronna. Robust M-Estimators of Multivariate Location and Scatter. In The Annals of Statistics, 4, pp. 51-67, 1976.
12. R. A. Maronna, W. A. Stahel, and V. Yohai. Bias-Robust Estimation of Multivariate Scatter Based on Projections. In Journal of Multivariate Analysis, 42, pp. 141-161, 1992.
13. R. Maronna and V. Yohai. The Behaviour of the Stahel-Donoho Robust Multivariate Estimator. In Journal of the American Statistical Association, 90(429), pp. 330-314, 1995.
14. R. Maronna and R. Zamar. Robust Estimates of Location and Dispersion for High Dimensional Data Sets. In Technometrics, to appear, 2002.
15. D.M. Rocke and D.L. Woodruff. Identification of Outliers in Multivariate Data. In Journal of the American Statistical Association, 91 (435), pp. 1047-1061, 1996.
16. P. Rousseeuw. Least Median of Squares Regression. In Journal of the American Statistical Association, 79, pp. 871-880, 1984.
17. P. Rousseeuw. Multivariate Estimation with High Breakdown Point. Mathematical Statistics and Applications, pp. 283-297, Reidel Publishing, 1985.
18. P. Rousseeuw and V. Driessen. A Fast Algorithm for the Minimum Covariance Determinant Estimator. In Technometrics, 41, pp. 212-223, 1999
19. P. Rousseeuw and A. Leroy. Robust Regression and Outlier Detection. John Wiley & Sons, 1987.
20. W. A. Stahel. Breakdown of Covariance Estimators. Research report, 31, Fachgruppe fur Statistik, ETH, Zurich, 1981.