Related papers: Robust and efficient estimation of high dimensiona…
High-breakdown-point estimators of multivariate location and shape matrices, such as the MM-estimator with smooth hard rejection and the Rocke S-estimator, are generally designed to have high efficiency at the Gaussian distribution.…
Covariance matrix estimation is an important problem in multivariate data analysis, both from theoretical as well as applied points of view. Many simple and popular covariance matrix estimators are known to be severely affected by model…
Good robust estimators can be tuned to combine a high breakdown point and a specified asymptotic efficiency at a central model. This happens in regression with MM- and tau-estimators among others. However, the finite-sample efficiency of…
A large dimensional characterization of robust M-estimators of covariance (or scatter) is provided under the assumption that the dataset comprises independent (essentially Gaussian) legitimate samples as well as arbitrary deterministic…
Multivariate location and scatter matrix estimation is a cornerstone in multivariate data analysis. We consider this problem when the data may contain independent cellwise and casewise outliers. Flat data sets with a large number of…
Maronna's and Tyler's $M$-estimators are among the most widely used robust estimators for scatter matrices. However, when the dimension of observations is relatively high, their performance can substantially deteriorate in certain…
Robust estimators of large covariance matrices are considered, comprising regularized (linear shrinkage) modifications of Maronna's classical M-estimators. These estimators provide robustness to outliers, while simultaneously being…
There has been a surge of interest in developing robust estimators for models with heavy-tailed and bounded variance data in statistics and machine learning, while few works impose unbounded variance. This paper proposes two type of robust…
This article studies two regularized robust estimators of scatter matrices proposed (and proved to be well defined) in parallel in (Chen et al., 2011) and (Pascal et al., 2013), based on Tyler's robust M-estimator (Tyler, 1987) and on…
The panel data regression models have gained increasing attention in different areas of research including but not limited to econometrics, environmental sciences, epidemiology, behavioral and social sciences. However, the presence of…
Highly robust and efficient estimators for the generalized linear model with a dispersion parameter are proposed. The estimators are based on three steps. In the first step the maximum rank correlation estimator is used to consistently…
The joint estimation of means and scatter matrices is often a core problem in multivariate analysis. In order to overcome robustness issues, such as outliers from Gaussian assumption, M-estimators are now preferred to the traditional sample…
Maintaining the quality of manufactured products at a desired level is known to increase customer satisfaction and profitability. Shewhart control chart is the most widely used in statistical process control (SPC) technique to monitor the…
Covariance matrices play a major role in statistics, signal processing and machine learning applications. This paper focuses on the \textit{semiparametric} covariance/scatter matrix estimation problem in elliptical distributions. The class…
Robustly determining the optimal number of clusters in a data set is an essential factor in a wide range of applications. Cluster enumeration becomes challenging when the true underlying structure in the observed data is corrupted by…
Generalized Linear Models are routinely used in data analysis. The classical procedures for estimation are based on Maximum Likelihood and it is well known that the presence of outliers can have a large impact on this estimator. Robust…
We present new algorithms for $M$-estimators of multivariate scatter and location and for symmetrized $M$-estimators of multivariate scatter. The new algorithms are considerably faster than currently used fixed-point and related algorithms.…
This paper proposes an original approach to better understanding the behavior of robust scatter matrix $M$-estimators. Scatter matrices are of particular interest for many signal processing applications since the resulting performance…
This work introduces the Matrix Minimum Covariance Determinant (MMCD) method, a novel robust location and covariance estimation procedure designed for data that are naturally represented in the form of a matrix. Unlike standard robust…
Robust estimators of location and dispersion are often used in the elliptical model to obtain an uncontaminated and highly representative subsample by trimming the data outside an ellipsoid based in the associated Mahalanobis distance. Here…