Robust Estimation of Multivariate Location and Scatter in the Presence of Missing Data
AbstractTwo main issues regarding data quality are data contamination (outliers) and data completion (missing data). These two problems have attracted much attention and research but surprisingly, they are seldom considered together. Popular robust methods such as S -estimators of multivariate location and scatter offer protection against outliers but cannot deal with missing data, except for the obviously inefficient approach of deleting all incomplete cases. We generalize the definition of S -estimators of multivariate location and scatter to simultaneously deal with missing data and outliers. We show that the proposed estimators are strongly consistent under elliptical models when data are missing completely at random . We derive an algorithm similar to the Expectation-Maximization algorithm for computing the proposed estimators. This algorithm is initialized by an extension for missing data of the minimum volume ellipsoid. We assess the performance of our proposal by Monte Carlo simulation and give some real data examples. This article has supplementary material online.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Journal of the American Statistical Association.
Volume (Year): 107 (2012)
Issue (Month): 499 (September)
Contact details of provider:
Web page: http://www.tandfonline.com/UASA20
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.