CellMCD+: An improved outlier-resistant cellwise minimum covariance determinant method

Prabhu Babu and Petre Stoica

Statistics & Probability Letters, 2025, vol. 220, issue C

Abstract: In this letter, we revisit the recently proposed cell outlier-resistant method cellMCD (minimum covariance determinant) and derive a version of it called cellMCD+ that has better performance. We illustrate the performance gain of cellMCD+ via numerical simulations in the case of estimating low-rank structured covariance matrices.

Keywords: Cell outliers; Minimum covariance determinant (MCD); False discovery rate (FDR); Block coordinate descent; Expectation maximization (EM) (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2025.110366

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