The Behavior of the Stahel-Donoho Robust Multivariate Estimator
作者:
RicardoA. Maronna,
VíctorJ. Yohai,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1995)
卷期:
Volume 90,
issue 429
页码: 330-341
ISSN:0162-1459
年代: 1995
DOI:10.1080/01621459.1995.10476517
出版商: Taylor & Francis Group
关键词: Bias robustness;Multivariate location scatter;Projection methods
数据来源: Taylor
摘要:
The Stahel-Donoho estimators (t, V) of multivariate location and scatter are defined as a weighted mean and a weighted covariance matrix with weights of the formw(r), wherewis a weight function andris a measure of “outlyingness,” obtained by considering all univariate projections of the data. It has a high breakdown point for all dimensions and order √nconsistency. The asymptotic bias ofVfor point mass contamination for suitable weight functions is compared with that of Rousseeuw's minimum volume ellipsoid (MVE) estimator. A simulation shows that for a suitablew,tandVexhibit high efficiency for both normal and Cauchy distributions and are better than their competitors for normal data with point-mass contamination. The performances of the estimators for detecting outliers are compared for both a real and a synthetic data set.
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