Year: 2012
Type: conference-paper
Abstract: In this note we introduce a new robust estimator of multivariate location and scatter. Like MVE and MCD it searches for an h-subset which minimizes a criterion. The dierence is that the new criterion attempts to measure the cohesion of the h-subset. The optimal h-subset is called the Most Cohesive Subset (MCS). The MCS estimator uses projections and is ane equivariant. We construct a fast algorithm for the MCS estimator, and simulate its bias under various outlier congurations.
Source: Lirias
Authors: Kaveh Vakili, Mia Hubert, Peter J. Rousseeuw
Institution: KU Leuven
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2524780832