Comparing robust generalized variances and comments on efficiency

DOI10.1016/j.stamet.2005.09.005zbMath1248.62089OpenAlexW2066445129MaRDI QIDQ713706

Rand R. Wilcox

Publication date: 19 October 2012

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2005.09.005

zbMATH Keywords

S-estimatorsmultivariate outliersminimum covariance determinant estimatorminimum volume ellipsoid estimatorrobust measures of scatterskipped estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Cites Work

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• Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
• Saddlepoint approximations for the generalized variance and Wilks' statistic
• Asymptotic distributions of functions of a sample covariance matrix under the elliptical distribution
• Computable Robust Estimation of Multivariate Location and Shape in High Dimension Using Compound Estimators
• Fast Very Robust Methods for the Detection of Multiple Outliers
• Identification of Outliers in Multivariate Data
• Notions of Limiting P Values Based on Data Depth and Bootstrap

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