A Deterministic Algorithm for Robust Location and Scatter

Most algorithms for highly robust estimators of multivariate location and scatter start by drawing a large number of random subsets. For instance, the FASTMCD algorithm of Rousseeuw and Van Driessen starts in this way, and then takes so-called concentration steps to obtain a more accurate approximat...

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Bibliographic Details
Published in:	Journal of computational and graphical statistics Vol. 21; no. 3; pp. 618 - 637
Main Authors:	Hubert, Mia, Rousseeuw, Peter J., Verdonck, Tim
Format:	Journal Article
Language:	English
Published:	Alexandria Taylor & Francis Group 01.09.2012 American Statistical Association, Institute of Mathematical Statistics, and Interface Foundation of North America Taylor & Francis Ltd
Subjects:	Affine equivariance Algorithms Analytical estimating Approximation Covariance Covariance matrices Datasets Determinism Estimating techniques Estimation methods Estimators Handling Massive and Complex Data Multivariate Optimization algorithms Outliers Preliminary estimates Principal components analysis Robustness Studies
ISSN:	1061-8600, 1537-2715
Online Access:	Get full text
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