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The minimum weighted covariance determinant estimator

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  • Ella Roelant
  • Stefan Aelst
  • Gert Willems

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  • Ella Roelant & Stefan Aelst & Gert Willems, 2009. "The minimum weighted covariance determinant estimator," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 70(2), pages 177-204, September.
    • Handle: RePEc:spr:metrik:v:70:y:2009:i:2:p:177-204
    DOI: 10.1007/s00184-008-0186-3
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    References listed on IDEAS

    as
    1. Agulló, Jose & Croux, Christophe & Van Aelst, Stefan, 2008. "The multivariate least-trimmed squares estimator," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 311-338, March.
    2. Hadi, Ali S. & Luceno, Alberto, 1997. "Maximum trimmed likelihood estimators: a unified approach, examples, and algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 25(3), pages 251-272, August.
    3. Pison, Greet & Rousseeuw, Peter J. & Filzmoser, Peter & Croux, Christophe, 2003. "Robust factor analysis," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 145-172, January.
    4. Salibian-Barrera, Matias & Van Aelst, Stefan & Willems, Gert, 2006. "Principal Components Analysis Based on Multivariate MM Estimators With Fast and Robust Bootstrap," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1198-1211, September.
    5. Taskinen, Sara & Croux, Christophe & Kankainen, Annaliisa & Ollila, Esa & Oja, Hannu, 2006. "Influence functions and efficiencies of the canonical correlation and vector estimates based on scatter and shape matrices," Journal of Multivariate Analysis, Elsevier, vol. 97(2), pages 359-384, February.
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    Citations

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    Cited by:

    1. Lisa Crosato & Luigi Grossi, 2019. "Correcting outliers in GARCH models: a weighted forward approach," Statistical Papers, Springer, vol. 60(6), pages 1939-1970, December.
    2. Apostolos Karasmanoglou & Marios Antonakakis & Michalis Zervakis, 2023. "ECG-Based Semi-Supervised Anomaly Detection for Early Detection and Monitoring of Epileptic Seizures," IJERPH, MDPI, vol. 20(6), pages 1-20, March.
    3. Daniel Hlubinka & Miroslav Šiman, 2015. "On generalized elliptical quantiles in the nonlinear quantile regression setup," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 249-264, June.
    4. G. Zioutas & C. Chatzinakos & T. D. Nguyen & L. Pitsoulis, 2017. "Optimization techniques for multivariate least trimmed absolute deviation estimation," Journal of Combinatorial Optimization, Springer, vol. 34(3), pages 781-797, October.
    5. Pokojovy, Michael & Jobe, J. Marcus, 2022. "A robust deterministic affine-equivariant algorithm for multivariate location and scatter," Computational Statistics & Data Analysis, Elsevier, vol. 172(C).
    6. C. Chatzinakos & L. Pitsoulis & G. Zioutas, 2016. "Optimization techniques for robust multivariate location and scatter estimation," Journal of Combinatorial Optimization, Springer, vol. 31(4), pages 1443-1460, May.
    7. Jan Kalina & Jan Tichavský, 2022. "The minimum weighted covariance determinant estimator for high-dimensional data," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 16(4), pages 977-999, December.
    8. Hlubinka, Daniel & Šiman, Miroslav, 2013. "On elliptical quantiles in the quantile regression setup," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 163-171.

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