Seminar Details

Seminar Details


Mar 9

12:30 pm

The Distribution of Robust Distances

Johanna Hardin


University of California, Davis - Department of Statistics

Mahalanobis distances in which the shape matrix is derived from a consistent, high-breakdown robust multivariate location and scale estimator have an asymptotic chi-squared distribution just like those derived from the ordinary covariance matrix. However, even in quite large samples, the chi-squared approximation is poor. We provide an improved approximation that gives accurate outlier rejection points.