Robust estimates of location and scatter matrix under the independent contamination model

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

Burlington, Vermont, USA

Conferencia; International Conference on Robust Statistics 2012; 2012

University of Vermont in Burlington, Vermont, USA

Alqallaf, Van Aelst, Yohai and Zamar (2008) introduced a new contamination model: the independent contamination model (ICM). In this model the events that different components of an observation are replaced by outliers are independent. In this talk we prsent location and scatter matrix estimate which are robust under the ICM. These estimators can be computed with an efficient EM type algorithm.