Applications of a Robust Dispersion Estimator

Robust estimators for multivariate location and dispersion should be ãn consistent and highly outlier resistant, but estimators that have been shown to have these properties are impractical to compute. The RMVN estimator is an easily computed outlier resistant robust ãn consistent estimator of multivariate location and dispersion, and the estimator is obtained by scaling the classical estimator applied to the gRMVN subseth that contains at least half of the cases. Several robust estimators will be presented, discussed and compared in detail. The applications for the RMVN estimator are numerous, and a simple method for performing robust principal component analysis (PCA), canonical correlation analysis (CCA) and factor analysis is to apply the classical method to the gRMVN subset.h Two approaches for robust PCA and CCA will be introduced and compared by simulation studies