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Multivariate Outlier Detection and Robust Covariance Matrix Estimation

Posted by dhin pada 26 April 2009

Multivariate Outlier Detection and Robust Covariance Matrix Estimation
Daniel Peña and Francisco J. Prieto
Department of Statistics and Econometrics
Universidad Carlos III de Madrid
28903 Getafe (Madrid)
Spain
(dpena@est-econ.uc3m.es) (fjp@est-econ.uc3m.es)

In this article, we present a simple multivariate outlier-detection procedure and a robust estimator for the covariance matrix, based on the use of information obtained from projections onto the directions that maximize and minimize the kurtosis coef. cient of the projected data. The properties of this estimator (computational cost, bias) are analyzed and compared with those of other robust estimators described in the literature through simulation studies. The performance of the outlier-detection procedure is analyzed by applying it to a set of well-known examples.

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Multivariate Outlier Detection and Robust Covariance Matrix Estimation

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