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Consistency factor for the MCD estimator at the Student-t distribution

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اقرأ أكثر حفظ في قائمتي
  • المؤلفون: García Escudero, Luis Ángel
  • نوع التسجيلة:
    Electronic Resource
  • الدخول الالكتروني :
    https://worldcat.org/search?q=on:ESUDE+http://uvadoc.uva.es/oai/request+DCG_ENTIRE_REPOSITORY+CNTCOLL
    https://link.springer.com/article/10.1007/s11222-023-10296-2
    https://link.springer.com/article/10.1007/s11222-023-10296-2
  • معلومة اضافية
    • Publisher Information:
      2023
    • نبذة مختصرة :
      Producción Científica
      It is well known that trimmed estimators of multivariate scatter, such as the Minimum Covariance Determinant (MCD) estimator, are inconsistent unless an appropriate factor is applied to them in order to take the effect of trimming into account. This factor is widely recommended and applied when uncontaminated data are assumed to come from a multivariate normal model. We address the problem of computing a consistency factor for the MCD estimator in a heavy-tail scenario, when uncontaminated data come from a multivariate Student-t distribution.We derive a remarkably simple computational formula for the appropriate factor and show that it reduces to an even simpler analytic expression in the bivariate case. Exploiting our formula, we then develop a robust Monte Carlo procedure for estimating the usually unknown number of degrees of freedom of the assumed and possibly contaminated multivariate Student-t model, which is a necessary ingredient for obtaining the required consistency factor. Finally, we provide substantial simulation evidence about the proposed procedure and apply it to data from image processing and financial markets.
      PID2021-128314NB-I00 funded by MCIN/AEI/10.13039/501100011033/FEDER.
    • الموضوع:
      Consistency factor; MCD; Robust distance; Multivariate; Student-t distribution; info:eu-repo/semantics/article; info:eu-repo/semantics/draft
    • Availability:
      Open access content. Open access content
      Attribution-NoDerivs 3.0 Unported
      info:eu-repo/semantics/openAccess
      http://creativecommons.org/licenses/by-nd/3.0
    • Note:
      application/pdf
      English
    • Other Numbers:
      ESUDE oai:uvadoc.uva.es:10324/67296
      https://doi.org/10.1007/S11222-023-10296-2
      Statistics and Computing (2023) 33:132, 1-17
      0960-3174
      https://uvadoc.uva.es/handle/10324/67296
      Statistics and Computing
      33
      1573-1375
      1456708833
    • Contributing Source:
      UNIVERSIDAD DE VALLADOLID
      From OAIster®, provided by the OCLC Cooperative.
    • الرقم المعرف:
      edsoai.on1456708833
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