Abstract #301076

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JSM 2002 Abstract #301076
Activity Number: 52
Type: Contributed
Date/Time: Sunday, August 11, 2002 : 4:00 PM to 5:50 PM
Sponsor: Section on Statistical Computing*
Abstract - #301076
Title: Robust Estimation of Multivariate Covariance Components
Author(s): Amylou Dueck*+ and Sharon Lohr
Affiliation(s): Arizona State University and Arizona State University
Address: Box 871804, Tempe, Arizona, 85287-1804, USA
Keywords: robust statistics ; variance components ; quality improvement ; computational methods ; outliers ; random effects
Abstract:

In many settings, such as hierarchical modeling, small area estimation in sample survey, and quality improvement, investigators are interested in estimating covariance components for multivariate measurements. However, the presence of outliers can seriously distort estimates obtained using standard procedures such as maximum likelihood. We propose a procedure for robustly estimating covariance components in the presence of outliers. We present a new algorithm for computing the robust estimates. We examine the performance of our estimator through a simulation study.

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