Publication
Title
A hotelling test based on MCD
Author
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.
Language
English
Source (journal)
COMPSTAT 2002: PROCEEDINGS IN COMPUTATIONAL STATISTICS
Source (book)
15th Biannual Conference on Computational Statistics (COMPSTAT), AUG 24-28, 2002, BERLIN, GERMANY
Publication
2002
ISBN
3-7908-1517-9
Volume/pages
(2002), p. 117-122
ISI
000179942900012
Full text (Publisher's DOI)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 03.01.2013
Last edited 15.06.2017
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