The DOI matches its Crossref record; 26 of the 26 references it cites were found in a registry or an index.
Robust Estimates of Location and Dispersion for High-Dimensional Datasets
Abstract
The computing times of high-breakdown point estimates of multivariate location and scatter increase rapidly with the number of variables, which makes them impractical for high-dimensional datasets, such as those used in data mining. We propose an estimator of location and scatter based on a modified version of the Gnanadesikan–Kettenring robust covariance estimate. We compare its behavior with that of the Stahel–Donoho (SD) and Rousseeuw and Van Driessen's fast MCD (FMCD) estimates. In simulations with contaminated multivariate normal data, our estimate is almost as good as SD and clearly better than FMCD. It is much faster than both, especially for large dimension. We give examples with real data with dimensions between 5 and 93, in which the proposed estimate is as good as or better than SD and FMCD at detecting outliers and other structures, with much shorter computing times.
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Cites
Vetterling, W. T., Teukolsky, S. A., Press, W. H., & Flannery, B. P. (1988) · Cited by 7,701
Robust Statistics: The Approach Based on Influence Functions
Ruppert, D. (1987) · Technometrics · doi:10.2307/1269782 · Cited by 3,880
Journal of the American Statistical Association
Fildes, R. (1989) · International Journal of Forecasting · doi:10.1016/0169-2070(89)90106-4 · Cited by 3,874
Least Median of Squares Regression
Rousseeuw, P. J. (1984) · Journal of the American Statistical Association · doi:10.1080/01621459.1984.10477105 · Cited by 3,835
A Fast Algorithm for the Minimum Covariance Determinant Estimator
Rousseeuw, P. J., & Driessen, K. V. (1999) · Technometrics · doi:10.1080/00401706.1999.10485670 · Cited by 2,708
Alternatives to the Median Absolute Deviation
Rousseeuw, P. J., & Croux, C. (1993) · Journal of the American Statistical Association · doi:10.2307/2291267 · Cited by 1,466
Multivariate Estimation with High Breakdown Point
Rousseeuw, P. (1985) · Mathematical Statistics and Applications · doi:10.1007/978-94-009-5438-0_20 · Cited by 1,109
Robust $M$-Estimators of Multivariate Location and Scatter
Maronna, R. A. (1976) · The Annals of Statistics · doi:10.1214/aos/1176343347 · Cited by 952
Self-citationNonparametric Methods in Multivariate Analysis
Dunn, O. J. (1972) · Technometrics · doi:10.1080/00401706.1972.10488934 · Cited by 877
Robust Estimates, Residuals, and Outlier Detection with Multiresponse Data
Gnanadesikan, R., & Kettenring, J. R. (1972) · Biometrics · doi:10.2307/2528963 · Cited by 808
Cited by
Influence functions of the Spearman and Kendall correlation measures
Croux, C., & Dehon, C. (2010) · Statistical Methods & Applications · doi:10.1007/s10260-010-0142-z · Cited by 634
An Object-Oriented Framework for Robust Multivariate Analysis
Todorov, V., & Filzmoser, P. (2009) · Journal of Statistical Software · doi:10.18637/jss.v032.i03 · Cited by 420
Metadata
- Authors
- Maronna, R. A., & Zamar, R. H.
- Venue
- Technometrics
- Publisher
- Informa UK Limited
- Published
- 2002-11
- Volume
- 44
- Issue
- 4
- Pages
- 307-317
- ISSN
- 0040-1706 (ISSN-L)
- 1537-2723
- OpenAlex
- W2049454545
- Cited by
- 406
- References
- 26
- FWCI
- 5.40
- Type
- journal article
- Language
- en
- Open access
- closed
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