Adaptive subsample estimation for multivariate normal distributions

doi:10.1080/03610918.2022.2053720

CSpace > 系统科学研究所

	Adaptive subsample estimation for multivariate normal distributions
	Wu, Xi 1; Mu, Weiyan 2; Xiong, Shifeng3 ; Li, Xinmin 4
	2022-03-15
发表期刊	COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
ISSN	0361-0918
页码	8
摘要	The minimum covariance determinant (MCD) estimate is an important subsample method in robust statistics. It is commonly used to estimate parameters of multivariate normal distributions when outliers exist because of its good robustness properties. However, MCD has some disadvantages including low efficiency when there is no outliers and poor performance when there are clustered outliers. This paper first introduces an adaptive subsample method, and shows that the adaptive MCD estimator can possess both full asymptotic efficiency and maximum breakdown value. We then propose a minimum distance subsample estimate to handle the situations where there are clustered outliers. Simulation results indicate that the adaptive version of the minimum distance subsample estimate has satisfactory performance for various types of outliers.
关键词	Kolmogorov-Smirnov statistic Minimum covariance determinant Minimum distance estimation Robust estimation Subsample selection
DOI	10.1080/03610918.2022.2053720
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[12171462] ; National Natural Science Foundation of China[11871033] ; National Natural Science Foundation of China[11871294]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000770468900001
出版者	TAYLOR & FRANCIS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/60173
专题	系统科学研究所
通讯作者	Mu, Weiyan
作者单位	1.Chinese Acad Med Sci & Peking Union Med Coll, Canc Hosp, Natl Clin Res Ctr Canc, Natl Canc Ctr, Beijing, Peoples R China 2.Beijing Univ Civil Engn & Architecture, Sch Sci, Beijing 100044, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, KLSC, NCMIS, Beijing, Peoples R China 4.Qingdao Univ, Sch Math & Stat, Qingdao, Peoples R China
推荐引用方式 GB/T 7714	Wu, Xi,Mu, Weiyan,Xiong, Shifeng,et al. Adaptive subsample estimation for multivariate normal distributions[J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION,2022:8.
APA	Wu, Xi,Mu, Weiyan,Xiong, Shifeng,&Li, Xinmin.(2022).Adaptive subsample estimation for multivariate normal distributions.COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION,8.
MLA	Wu, Xi,et al."Adaptive subsample estimation for multivariate normal distributions".COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION (2022):8.