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Huberization 1 Outlier identification 1 Outlyingness 1 Robust multivariate estimators 1
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Van Aelst, S. 1 Vandervieren, E. 1 Willems, G. 1
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Computational Statistics & Data Analysis 1
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A Stahel–Donoho estimator based on huberized outlyingness
Van Aelst, S.; Vandervieren, E.; Willems, G. - In: Computational Statistics & Data Analysis 56 (2012) 3, pp. 531-542
The Stahel–Donoho estimator is defined as a weighted mean and covariance, where the weight of each observation depends on a measure of its outlyingness. In high dimensions, it can easily happen that a number of outlying measurements are present in such a way that the majority of observations...
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