Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination

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  2. Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination

Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination

TitleRobust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination
Publication TypeJournal Article
Year of Publication2015
AuthorsAgostinelli, C, Leung, A, Yohai, VJ, Zamar, RH
JournalTEST
Volume24
Pagination441-461
Date PublishedSEP
Type of ArticleArticle
ISSN1133-0686
KeywordsCellwise contamination, Multivariate data analysis, Multivariate location and scatter, Robust estimation
AbstractMultivariate location and scatter matrix estimation is a cornerstone in multivariate data analysis. We consider this problem when the data may contain independent cellwise and casewise outliers. Flat data sets with a large number of variables and a relatively small number of cases are common place in modern statistical applications. In these cases, global down-weighting of an entire case, as performed by traditional robust procedures, may lead to poor results. We highlight the need for a new generation of robust estimators that can efficiently deal with cellwise outliers and at the same time show good performance under casewise outliers.
DOI10.1007/s11749-015-0450-6