Title
A hotelling test based on MCD A hotelling test based on MCD
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Faculty of Social Sciences. Communication Sciences
Publication type
conferenceObject
Publication
Subject
Mathematics
Source (journal)
COMPSTAT 2002: PROCEEDINGS IN COMPUTATIONAL STATISTICS
Source (book)
15th Biannual Conference on Computational Statistics (COMPSTAT), AUG 24-28, 2002, BERLIN, GERMANY
Volume/pages
(2002) , p. 117-122
ISBN
3-7908-1517-9
ISI
000179942900012
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
Hypothesis tests and confidence intervals based on the classical Hotelling T-2 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 of Rousseeuw (1984) instead of the classical mean and covariance matrix. the distribution of this new statistic differs from the classical one. Similarly to the classical T-2 distribution, we obtain a multiple of a certain F-distribution. It is shown through a Monte Carlo study that this approximation is very accurate, both at the normal model and at contamination models.
E-info
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