The minimum weighted covariance determinant estimator

DOI10.1007/s00184-008-0186-3zbMath1433.62167OpenAlexW2031144503MaRDI QIDQ745468

Ella Roelant, Gert Willems, Stefan Van Aelst

Publication date: 14 October 2015

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/462052

zbMATH Keywords

efficiencyrobust estimationoutlier detection

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30)

Related Items (12)

Optimization techniques for robust multivariate location and scatter estimation ⋮ A robust deterministic affine-equivariant algorithm for multivariate location and scatter ⋮ Common multivariate estimators of location and scatter capture the symmetry of the underlying distribution ⋮ Optimization techniques for multivariate least trimmed absolute deviation estimation ⋮ On elliptical quantiles in the quantile regression setup ⋮ The minimum weighted covariance determinant estimator for high-dimensional data ⋮ Regression Neural Networks with a Highly Robust Loss Function ⋮ A Comparison of Robust Model Choice Criteria Within a Metalearning Study ⋮ The minimum weighted covariance determinant estimator ⋮ Correcting outliers in GARCH models: a weighted forward approach ⋮ The minimum weighted covariance determinant estimator revisited ⋮ On generalized elliptical quantiles in the nonlinear quantile regression setup

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