RelaxMCD: smooth optimisation for the minimum covariance determinant estimator

DOI10.1016/j.csda.2009.11.005zbMath1464.62156OpenAlexW1986846175MaRDI QIDQ962329

Gentiane Haesbroeck, Michaël Schyns, Frank Critchley

Publication date: 6 April 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2009.11.005

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (10)

Using robust dispersion estimation in support vector machines ⋮ Computing of high breakdown regression estimators without sorting on graphics processing units ⋮ A review of robust clustering methods ⋮ Outlier detection and robust covariance estimation using mathematical programming ⋮ Special issue on variable selection and robust procedures ⋮ Outlier detection and least trimmed squares approximation using semi-definite programming ⋮ Stepwise estimation of common principal components ⋮ Global non-smooth optimization in robust multivariate regression ⋮ Discussion of: ``The power of monitoring: how to make the most of a contaminated multivariate sample ⋮ Derivative-free optimization and neural networks for robust regression

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The complexity of computing the MCD-estimator
• The importance of the scales in heterogeneous robust clustering
• Constrained global optimization: algorithms and applications
• Improved feasible solution algorithms for high breakdown estimation.
• Asymptotics for the minimum covariance determinant estimator
• The feasible solution algorithm for the minimum covariance determinant estimator in multivariate data
• Computing the minimum covariance determinant estimator (MCD) by simulated annealing
• Computable Robust Estimation of Multivariate Location and Shape in High Dimension Using Compound Estimators
• Inconsistency of Resampling Algorithms for High-Breakdown Regression Estimators and a New Algorithm

This page was built for publication: RelaxMCD: smooth optimisation for the minimum covariance determinant estimator