Autores
G Willems, Greet Pison, PJ Rousseeuw, Stefan Van Aelst
Fecha de publicación
2002/4/1
Revista
Metrika
Volumen
55
Número
1-2
Páginas
125-138
Editor
Springer-Verlag Berlin Heidelberg
Descripción
Hotelling's T 2 statistic is an important tool for inference about the center of a multivariate normal population. However, hypothesis tests and confidence intervals based on this statistic can be adversely affected by outliers. Therefore, we construct an alternative inference technique based on a statistic which uses the highly robust MCD estimator [9] instead of the classical mean and covariance matrix. Recently, a fast algorithm was constructed to compute the MCD [10]. In our test statistic we use the reweighted MCD, which has a higher efficiency. The distribution of this new statistic differs from the classical one. Therefore, the key problem is to find a good approximation for this distribution. Similarly to the classical T 2 distribution, we obtain a multiple of a certain F-distribution. A Monte Carlo study shows that this distribution is an accurate approximation of the true distribution. Finally …
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Artículos de Google Académico
G Willems, G Pison, PJ Rousseeuw, S Van Aelst - Metrika, 2002