A robust Hotelling test View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2002-04

AUTHORS

G. Willems, G. Pison, P. J. Rousseeuw, S. Van Aelst

ABSTRACT

Hotelling's T2 statistic is an important tool for inference about the center of a multivariate normal population. However, hypothesis tests and confidence intervals based on this statistic can be adversely affected by outliers. Therefore, we construct an alternative inference technique based on a statistic which uses the highly robust MCD estimator [9] instead of the classical mean and covariance matrix. Recently, a fast algorithm was constructed to compute the MCD [10]. In our test statistic we use the reweighted MCD, which has a higher efficiency. The distribution of this new statistic differs from the classical one. Therefore, the key problem is to find a good approximation for this distribution. Similarly to the classical T2 distribution, we obtain a multiple of a certain F-distribution. A Monte Carlo study shows that this distribution is an accurate approximation of the true distribution. Finally, the power and the robustness of the one-sample test based on our robust T2 are investigated through simulation. More... »

PAGES

125-138

Journal

TITLE

Metrika

ISSUE

1

VOLUME

55

Author Affiliations

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s001840200192

DOI

http://dx.doi.org/10.1007/s001840200192

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1040082186


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