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Adaptive subsample estimation for multivariate normal distributions

文献类型：期刊论文

作者Wu, Xi4; Mu, Weiyan3; Xiong, Shifeng2; Li, Xinmin1
刊名COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
出版日期2022-03-15
页码8
关键词Kolmogorov-Smirnov statistic Minimum covariance determinant Minimum distance estimation Robust estimation Subsample selection
ISSN号0361-0918
DOI10.1080/03610918.2022.2053720
英文摘要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.
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
语种英语
WOS记录号WOS:000770468900001
出版者TAYLOR & FRANCIS INC
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/60172]  
专题系统科学研究所
通讯作者Mu, Weiyan
作者单位1.Qingdao Univ, Sch Math & Stat, Qingdao, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, KLSC, NCMIS, Beijing, Peoples R China
3.Beijing Univ Civil Engn & Architecture, Sch Sci, Beijing 100044, Peoples R China
4.Chinese Acad Med Sci & Peking Union Med Coll, Canc Hosp, Natl Clin Res Ctr Canc, Natl Canc Ctr, Beijing, 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.

入库方式： OAI收割

来源：数学与系统科学研究院

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