The minimum weighted covariance determinant estimator for high-dimensional data

Author:

Kalina JanORCID,Tichavský Jan

Funder

Grantová Agentura České Republiky

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computer Science Applications,Statistics and Probability

Reference48 articles.

1. Agostinelli C, Leung A, Yohai VJ, Zamar RH (2015) Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination. TEST 24:441–461

2. Ashurbekova K, Usseglio-Carleve A, Forbes F, Achard S (2019) Optimal shrinkage for robust covariance matrix estimators in a small sample size setting. https://hal.archives-ouvertes.fr/hal-02378034

3. Benjamini Y, Hochberg Y (1995) Controlling the false discovery rate: a practical and powerful approach to multiple testing. J R Stat Soc B 57:289–300

4. Boudt K, Rousseeuw PJ, Vanduffel S, Verdonck T (2020) The minimum regularized covariance determinant estimator. Stat Comput 30:113–128

5. Cerioli A (2010) Multivariate outlier detection with high-breakdown estimators. J Am Stat Assoc 105:147–156

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