Location adjustment for the minimum volume ellipsoid estimator
Faculty of Sciences. Mathematics and Computer Science

article

2002
London
, 2002

Mathematics

Computer. Automation

Statistics and computing. - London

12(2002)
:3
, p. 191-200

0960-3174

000178716400001

E

English (eng)

University of Antwerp

Estimating multivariate location and scatter with both affine equivariance and positive breakdown has always been difficult. A well-known estimator which satisfies both properties is the Minimum Volume Ellipsoid Estimator (MVE). Computing the exact MVE is often not feasible, so one usually resorts to an approximate algorithm. In the regression setup, algorithms for positive-breakdown estimators like Least Median of Squares typically recompute the intercept at each step, to improve the result. This approach is called intercept adjustment. In this paper we show that a similar technique, called location adjustment, can be applied to the MVE. For this purpose we use the Minimum Volume Ball (MVB), in order to lower the MVE objective function. An exact algorithm for calculating the MVB is presented. As an alternative to MVB location adjustment we propose L-1 location adjustment, which does not necessarily lower the MVE objective function but yields more efficient estimates for the location part. Simulations compare the two types of location adjustment. We also obtain the maxbias curves of both L-1 and the MVB in the multivariate setting, revealing the superiority of L-1.

https://repository.uantwerpen.be/docman/iruaauth/6f4465/e844173.pdf

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