Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/77235 
Year of Publication: 
2000
Series/Report no.: 
Technical Report No. 2000,18
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Abstract: 
The aim of detecting outliers in a multivariate sample can be pursued in different ways. We investigate here the performance of several simultaneous multivariate outlier identification rules based on robust estimators of location and scale. It has been shown that the use of estimators with high finite sample breakdown point in such procedures yields a good behaviour with respect to the prevention of breakdown by the masking effect (Becker, Gather 1999, J. Amer. Statist. Assoc. 94, 947-955). In this article, we investigate by simulation, at which distance from the center of an underlying model distribution outliers can be placed until certain simultaneous identification rules will detect them as outliers. We consider identification procedures based on the minimum volume ellipsoid, the minimum covariance determinant, and S-estimators.
Subjects: 
Outliers
high breakdown point procedures
MVE
MCD
robustness
S-estimators
Document Type: 
Working Paper

Files in This Item:
File
Size
405.38 kB
609.81 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.