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Robust Procedures in Multivariate Analysis I: Robust Covariance Estimation

Robust procedures in multivariate analysis I: Robust covariance estimation
Authors: Campbell, N. A.;

Robust Procedures in Multivariate Analysis I: Robust Covariance Estimation

Abstract

SUMMARY The detection of atypical observations from multivariate data sets can be enhanced by examining probabilityplotsofMahalanobis squared distances using robust M-estimates of means and of covariances, rather than the usual maximum likelihood estimates. The weights associated with the robust estimation can also be used to indicate atypical observations. For uncontaminated data, the robust estimates are similar to the usual estimates. A procedure for robust principal component analysis is given; it also indicates atypical observations and provides an analysis relatively little influenced by such observations.

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Keywords

Mahalanobis squared distances, multivariate normality, Estimation in multivariate analysis, Robustness and adaptive procedures (parametric inference), Factor analysis and principal components; correspondence analysis, outlier detection, M-estimators

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
247
Top 1%
Top 0.1%
Top 10%
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