Adaptive subsample estimation for multivariate normal distributions

doi:10.1080/03610918.2022.2053720

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	Adaptive subsample estimation for multivariate normal distributions
	Wu, Xi 1; Mu, Weiyan 2; Xiong, Shifeng 4; Li, Xinmin 3
刊名	COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
	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
DOI	10.1080/03610918.2022.2053720
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
出版者	TAYLOR & FRANCIS INC
WOS记录号	WOS:000770468900001
内容类型	期刊论文
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.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.Qingdao Univ, Sch Math & Stat, Qingdao, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, KLSC, NCMIS, 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.