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dc.contributor.authorGarcía Escudero, Luis Ángel 
dc.contributor.authorMayo Iscar, Agustín 
dc.contributor.authorCerioli, Andrea
dc.contributor.authorBarabesi, Lucio
dc.date.accessioned2024-05-01T18:54:56Z
dc.date.available2024-05-01T18:54:56Z
dc.date.issued2023
dc.identifier.citationStatistics and Computing (2023) 33:132, 1-17es
dc.identifier.issn0960-3174es
dc.identifier.urihttps://uvadoc.uva.es/handle/10324/67296
dc.descriptionProducción Científicaes
dc.description.abstractIt is well known that trimmed estimators of multivariate scatter, such as the Minimum Covariance Determinant (MCD) estimator, are inconsistent unless an appropriate factor is applied to them in order to take the effect of trimming into account. This factor is widely recommended and applied when uncontaminated data are assumed to come from a multivariate normal model. We address the problem of computing a consistency factor for the MCD estimator in a heavy-tail scenario, when uncontaminated data come from a multivariate Student-t distribution.We derive a remarkably simple computational formula for the appropriate factor and show that it reduces to an even simpler analytic expression in the bivariate case. Exploiting our formula, we then develop a robust Monte Carlo procedure for estimating the usually unknown number of degrees of freedom of the assumed and possibly contaminated multivariate Student-t model, which is a necessary ingredient for obtaining the required consistency factor. Finally, we provide substantial simulation evidence about the proposed procedure and apply it to data from image processing and financial markets.es
dc.format.mimetypeapplication/pdfes
dc.language.isoenges
dc.rights.accessRightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nd/3.0/*
dc.subject.classificationConsistency factor
dc.subject.classificationMCD
dc.subject.classificationRobust distance
dc.subject.classificationMultivariate
dc.subject.classificationStudent-t distribution
dc.titleConsistency factor for the MCD estimator at the Student-t distributiones
dc.typeinfo:eu-repo/semantics/articlees
dc.identifier.doi10.1007/S11222-023-10296-2es
dc.relation.publisherversionhttps://link.springer.com/article/10.1007/s11222-023-10296-2es
dc.identifier.publicationtitleStatistics and Computinges
dc.identifier.publicationvolume33es
dc.peerreviewedSIes
dc.description.projectPID2021-128314NB-I00 funded by MCIN/AEI/10.13039/501100011033/FEDER.es
dc.identifier.essn1573-1375es
dc.rightsAttribution-NoDerivs 3.0 Unported*
dc.type.hasVersioninfo:eu-repo/semantics/draftes


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