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Adaptive subsample estimation for multivariate normal distributions
Wu, Xi1; Mu, Weiyan2; Xiong, Shifeng3; Li, Xinmin4
AbstractThe 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.
KeywordKolmogorov-Smirnov statistic Minimum covariance determinant Minimum distance estimation Robust estimation Subsample selection
Indexed BySCI
Funding ProjectNational Natural Science Foundation of China[12171462] ; National Natural Science Foundation of China[11871033] ; National Natural Science Foundation of China[11871294]
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000770468900001
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Document Type期刊论文
Corresponding AuthorMu, Weiyan
Affiliation1.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
Recommended Citation
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.
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