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Title
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The DetS and DetMM estimators for multivariate location and scatter
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Author
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Abstract
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| New deterministic robust estimators of multivariate location and scatter are presented. They combine ideas from the deterministic DetMCD estimator with steps from the subsampling-based FastS and FastMM algorithms. The new DetS and DetMM estimators perform similarly to FastS and FastMM on low-dimensional data, whereas in high dimensions they are more robust. Their computation time is much lower than FastS and FastMM, which allows to compute the estimators for a range of breakdown values. Moreover, they are permutation invariant and very close to affine equivariant. (C) 2014 Elsevier B.V. All rights reserved. |
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Language
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English
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Source (journal)
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Computational statistics and data analysis / International Association for Statistical Computing. - Amsterdam, 1983, currens
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Publication
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Amsterdam
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North-Holland
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2015
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ISSN
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0167-9473
[print]
1872-7352
[online]
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DOI
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10.1016/J.CSDA.2014.07.013
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Volume/pages
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81
(2015)
, p. 64-75
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ISI
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000343347500006
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Full text (Publisher's DOI)
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Full text (publisher's version - intranet only)
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