A subsampling method for the computation of multivariate estimators with high breakdown point

Jesús Juan and Francisco J. Prieto

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: All known robust location and scale estimators with high breakdown point for multivariate sample's are very expensive to compute. In practice, this computation has to be carried out using an approximate subsampling procedure. In this work we describe an alternative subsampling scheme, applicable to both the Stahel-Donoho estimator and the estimator based on the Minimum Volume Ellipsoid, with the property that the number of subsamples required is substantially reduced with respect to the standard subsampling procedures used in both cases. We also discuss some bias and variability properties of the estimator obtained from the proposed subsampling process.

Keywords: Multivariate; analysis; Robust; estimation; Outlier; detection (search for similar items in EconPapers)
Date: 1994-06
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