Title 



A robust hotelling test
 
Author 



 
Abstract 



Hotelling's T2 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 T2 distribution, we obtain a multiple of a certain Fdistribution. A Monte Carlo study shows that this distribution is an accurate approximation of the true distribution. Finally, the power and the robustness of the onesample test based on our robust T2 are investigated through simulation.   
Language 



English
 
Source (journal) 



Metrika.  Wien  
Source (book) 



International Conference on Robust Statistics, JUL 2327, 2001, VORAU, AUSTRIA  
Publication 



Wien : 2002
 
ISSN 



00261335
 
Volume/pages 



55:12(2002), p. 125138
 
ISI 



000175702200012
 
Full text (Publisher's DOI) 


  
Full text (publisher's version  intranet only) 


  
