Title
A robust hotelling test A robust hotelling test
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Faculty of Social Sciences. Communication Sciences
Publication type
conferenceObject
Publication
Subject
Mathematics
Source (journal)
Developments in robust statistics
Source (book)
International Conference on Robust Statistics (ICOR 2001), JUL 23-27, 2001, VORAU, AUSTRIA
Volume/pages
(2003) , p. 417-431
ISBN
3-7908-1518-7
ISI
000179943000036
Carrier
E
Target language
English (eng)
Affiliation
University of Antwerp
Abstract
Hotelling's T-2 statistic is an important tool for inference about the center of a multivariate normal population. However, hypothesis tests and confidence intervals based on this statistic can be adversely affected by outliers. Therefore, we construct an alternative inference technique based on a statistic which uses the highly robust MCD estimator (Rousseeuw, 1984) instead of the classical mean and covariance matrix. Recently, a fast algorithm was constructed to compute the MCD (Rousseeuw and Van Driessen, 1999). In our test statistic we use the reweighted MCD, which has a higher efficiency. The distribution of this new statistic differs from the classical one. Therefore, the key problem is to find a good approximation for this distribution. Similarly to the classical T-2 distribution, we obtain a multiple of a certain F-distribution. A Monte Carlo study shows that this distribution is an accurate approximation of the true distribution. Finally, the power and the robustness of the one-sample test based on our robust T-2 are investigated through simulation.
E-info
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