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Title: Stahel-Donoho estimators with cellwise weights
Authors: Van Aelst, Stefan ×
Vandervieren, E
Willems, G #
Issue Date: 2011
Publisher: TAYLOR & FRANCIS LTD
Series Title: JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION vol:81 issue:1 pages:1-27
Abstract: The Stahel-Donoho estimator is defined as a weighted mean and covariance, where
each observation receives a weight in function of a measure of its outlyingness.
Therefore, all variables are treated in the same way whether
they are responsible for
the outlyingness or not. We present an adaptation of the Stahel-Donoho estimator
where we allow separate weights for each variable. By using cellwise weights, we
aim to only downweight the contaminated variables such that
we avoid losing the
information contained in the other variables. The goal is to
increase the precision and
possibly the robustness of the estimator. We compare several variants of our proposal
and show to what extent they succeed in identifying and downweighting precisely
those variables which are contaminated. We further demonst
rate that the mean
squared error of the adapted estimators is lower than that of the original Stahel-Donoho estimator in many situations. We also consider some r
eal data examples.
ISSN: 0094-9655
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Non-KU Leuven Association publications
× corresponding author
# (joint) last author

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