High Breakdown Estimation for Multiple Populations with Applications to Discriminant Analysis

Xuming He and Wing K. Fung

Journal of Multivariate Analysis, 2000, vol. 72, issue 2, 151-162

Abstract: We consider S-estimators of multivariate location and common dispersion matrix in multiple populations. Instead of averaging the robust estimates of the individual covariance matrices, as used by Todorov, Neykov and Neytchev (1990), the observations are pooled for estimating the common covariance more efficiently. Two such proposals are evaluated by a breakdown point analysis and Monte Carlo simulations. Their applications to the discriminant analysis are also considered.

Keywords: breakdown point; discriminant analysis; outlier; robust methods; S-estimator; two-sample problems (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (24)

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