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:: Volume 22, Issue 1 (9-2011) ::
مجله‌ی بررسی‌ها 2011, 22(1): 33-44 Back to browse issues page
A Review of Minimum Covariance Determinant Estimator and Its Application
Fatemeh Sadat Hosseini Baharanchi * , Masoud Yarmohammadi
Abstract:   (4728 Views)

The main object of this paper is to introduce a method to identify outliers in multivariate data set. The robust method which is reviewed in this paper is Minimum Covariance Determinant (MCD). Then, two important characteristics of the robust estimators, i.e. the breakdown point and the influence function, are defined. We also present the consistency and finite–sample correction factors for the MCD estimator. Finally, it is shown that MCD method is better than a classical method for detecting outliers of a real data set.

Keywords: Minimum Covariance Determinant estimator, outlier identification, robust distances
Full-Text [PDF 487 kb]   (1128 Downloads)    
Type of Study: Research | Subject: General
Received: 2010/08/8 | Accepted: 2011/04/19 | Published: 2015/12/30
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Hosseini Baharanchi F S, Yarmohammadi M. A Review of Minimum Covariance Determinant Estimator and Its Application. مجله‌ی بررسی‌ها 2011; 22 (1) :33-44
URL: http://ijoss.srtc.ac.ir/article-1-64-en.html

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Volume 22, Issue 1 (9-2011) Back to browse issues page
مجله‌ی بررسی‌های آمار رسمی ایران Ijoss Iranian Journal of Official Statistics Studies
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