Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination

CLAUDIO AGOSTINELLI; ANDY LEUNG; VÍCTOR J. YOHAI; RUBEN H. ZAMAR

TEST

SPRINGER

Lugar: Berlin; Año: 2015 vol. 24 p. 441 - 461

1133-0686

Multivariate location and scatter matrix estimation is a cornerstone in multivariate data analysis. We consider this problem when the data may contain independent cellwise and casewise outliers. Flat data sets with a large number of variables and a relatively small number of cases are common place in modern statistical applications. In these cases, global down-weighting of an entire case, as performed by traditional robust procedures, may lead to poor results. We highlight the need for a new generation of robust estimators that can efficiently deal with cellwise outliers and at the same time show good performance under casewise outliers.