"The Distribution of Robust Distances" by Johanna S. Hardin and David M. Rocke
 

The Distribution of Robust Distances

Document Type

Article

Department

Mathematics (Pomona)

Publication Date

2005

Keywords

Mahalanobis squared distance, Minimum covariance determinant, Outlier detection, Robust estimation

Abstract

Mahalanobis-type distances in which the shape matrix is derived from a consistent, high-breakdown robust multivariate location and scale estimator have an asymptotic chi-squared distribution as is the case with those derived from the ordinary covariance matrix. For example, Rousseeuw's minimum covariance determinant (MCD) is a robust estimator with a high breakdown. However, even in quite large samples, the chi-squared approximation to the distances of the sample data from the MCD center with respect to the MCD shape is poor. We provide an improved F approximation that gives accurate outlier rejection points for various sample sizes.

Rights Information

© 2005 Taylor and Francis

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