Title: On the computation and efficiency of a HBP-GM estimator some simulation results
Authors: Hinloopen, Jeroen ×
Wagenvoort, R #
Issue Date: Jul-1997
Publisher: Elsevier science bv
Series Title: Computational statistics & data analysis vol:25 issue:1 pages:1-15
Abstract: We propose and test a specific correction factor which improves both the resampling and projection algorithm for approximating the minimum volume ellipsoid (MVE) estimator. Simulations show that a high-breakdown-point GM estimator, based among other things on these improved MVE-estimates of location and scatter (i) is little less efficient than OLS if data are free from outlying observations, but in most cases is much more efficient if outliers corrupt the data, (ii) is always more efficient than Rousseeuw's least median of squares (LMS) estimator, and (iii) is always superior to both LMS and OLS if both precision and efficiency are considered. (C) 1997 Elsevier Science B.V.
ISSN: 0167-9473
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Department of Managerial Economics, Strategy and Innovation (MSI), Leuven
× corresponding author
# (joint) last author

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