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
article
Publication
Wien ,
Subject
Mathematics
Source (journal)
Metrika. - Wien
Source (book)
International Conference on Robust Statistics, JUL 23-27, 2001, VORAU, AUSTRIA
Volume/pages
55(2002) :1-2 , p. 125-138
ISSN
0026-1335
ISI
000175702200012
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
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 [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.
E-info
https://repository.uantwerpen.be/docman/iruaauth/917255/8b96713.pdf
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