Optimization techniques for robust multivariate location and scatter estimation

DOI10.1007/s10878-015-9833-6zbMath1338.90334OpenAlexW2090422158MaRDI QIDQ281780

George Zioutas, Chris Chatzinakos, Leonidas S. Pitsoulis

Publication date: 11 May 2016

Published in: Journal of Combinatorial Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10878-015-9833-6

zbMATH Keywords

outlier detectionlarge scale data setsleast trimmingrobust covariance and location

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Combinatorial optimization (90C27)

Related Items (3)

Optimization techniques for multivariate least trimmed absolute deviation estimation ⋮ A generalized spatial sign covariance matrix ⋮ Leveraged least trimmed absolute deviations

Cites Work

• A fast algorithm for robust regression with penalised trimmed squares
• The minimum weighted covariance determinant estimator
• Breakdown points of affine equivariant estimators of multivariate location and covariance matrices
• Outlier identification in high dimensions
• Quadratic mixed integer programming and support vectors for deleting outliers in robust regression
• The influence functions for the least trimmed squares and the least trimmed absolute deviations estimators
• The asymptotics of the least trimmed absolute deviations (LTAD) estimator
• A one-step robust estimator for regression based on the weighted likelihood reweighting scheme
• Deleting outliers in robust regression with mixed integer programming
• A comparison of algorithms for the multivariate \(L_1\)-median
• Least Median of Squares Regression
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