Ali, Hazlina and Syed Yahaya, Sharipah Soaad and Omar, Zurni (2014) The efficiency of reweighted minimum vector variance. In: 3rd International Conference on Mathematical Sciences, 17–19 December 2013, Kuala Lumpur, Malaysia.

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Abstract

Minimum vector variance (MVV) is a new robust estimator which possesses the good properties as in minimum covariance determinant (MCD), but with better computational efficiency.However, the highly robust affine equivariant estimators with the best breakdown point commonly have to compensate with low statistical efficiency.Hence, to increase the efficiency while retaining the highest breakdown point, we proceed to improve the MVV estimators in the context of statistical efficiency via reweighted version (RMVV).Interestingly, the reweighted scheme was able to maintain the breakdown point of 0.5 and attained higher efficiency at the normal distribution.

Item Type:	Conference or Workshop Item (Paper)
Uncontrolled Keywords:	Asymptotic relative efficiency; high breakdown point; minimum vector variance; outlierdetection; robust estimators
Subjects:	Q Science > QA Mathematics
Divisions:	School of Quantitative Sciences
Depositing User:	Dr. Hazlina Ali
Date Deposited:	20 Dec 2015 08:09
Last Modified:	28 Apr 2016 01:18
URI:	https://repo.uum.edu.my/id/eprint/16534

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