ROBUST ESTIMATORS IN MULTIVARIATE MODELS USING R

by MUTHUKRISHNAN.R, M.RADHA and T.KANNESWARI .

Abstract: Robust estimators have been extensively developed in statistics since the pioneering work of Huber (1964) and Hampel (1968). The most popular robust alternative of the classical multivariate location and scatter estimators are minimum volume ellipsoid and the minimum covariance determinant estimators. In this paper multivariate location and scatter estimate with high breakdown point can be thought of as estimating the mean and covariance of the good part of the data. A study of these estimators providing certain numerical illustrations by using R software is carried out.

Key Words: Robust estimator –Minimum Volume Ellipsoid estimator- Minimum Covariance Determinant estimator – R Software

Authors:
R.Muthukrishnan, muthukrishnan70@rediffmail.com
M.Radha, radhamyilsamy@gmail.com
T.Kanneswari, kannes_86@rediffmail.com

Editor: Das, Kishore K, daskkishore@gmail.com

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