KMS Of Academy of mathematics and systems sciences, CAS
| Adaptive subsample estimation for multivariate normal distributions | |
Wu, Xi1; Mu, Weiyan2; Xiong, Shifeng3 ; Li, Xinmin4
| |
| 2022-03-15 | |
| Source Publication | COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
 |
| ISSN | 0361-0918 |
| Pages | 8 |
| Abstract | 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. |
| Keyword | Kolmogorov-Smirnov statistic Minimum covariance determinant Minimum distance estimation Robust estimation Subsample selection |
| DOI | 10.1080/03610918.2022.2053720 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National Natural Science Foundation of China[12171462] ; National Natural Science Foundation of China[11871033] ; National Natural Science Foundation of China[11871294] |
| WOS Research Area | Mathematics |
| WOS Subject | Statistics & Probability |
| WOS ID | WOS:000770468900001 |
| Publisher | TAYLOR & FRANCIS INC |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/60173 |
| Collection | 系统科学研究所 |
| Corresponding Author | Mu, Weiyan |
| Affiliation | 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 |
| 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. |
| Files in This Item: | There are no files associated with this item. | |||||
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment