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Title
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A robust hotelling test
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Author
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Abstract
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| 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 [9] instead of the classical mean and covariance matrix. Recently, a fast algorithm was constructed to compute the MCD [10]. 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. |
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Language
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English
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Source (journal)
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Metrika : Zeitschrift für theoretische und angewandte Statistik. - Heidelberg, 1958, currens
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Source (book)
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International Conference on Robust Statistics, JUL 23-27, 2001, VORAU, AUSTRIA
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Publication
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Heidelberg
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2002
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ISSN
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0026-1335
[print]
1435-926X
[online]
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DOI
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10.1007/S001840200192
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Volume/pages
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55
:1-2
(2002)
, p. 125-138
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ISI
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000175702200012
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Full text (Publisher's DOI)
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Full text (publisher's version - intranet only)
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