Journal
JOURNAL OF MULTIVARIATE ANALYSIS
Volume 72, Issue 2, Pages 151-162Publisher
ELSEVIER INC
DOI: 10.1006/jmva.1999.1857
Keywords
breakdown point; discriminant analysis; outlier; robust methods; S-estimator; two-sample problems
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We consider S-estimators of multivariate location and common dispersion matrix in multiple populations. Instead of averaging the robust estimates of the individual covariance matrices, as used by Todorov, Neykov and Neytchev (1990), the observations are pooled for estimating the common covariance more efficiently. Two such proposals are evaluated by a breakdown point analysis and Monte Carlo simulations. Their applications to the discriminant analysis are also considered. (C) 2000 Academic Press.
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