JSM 2004 Online Program

Abstract #301097

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Activity Number:	117
Type:	Contributed
Date/Time:	Monday, August 9, 2004 : 10:30 AM to 12:20 PM
Sponsor:	Section on Statistical Consulting
Abstract - #301097
Title:	A Matrix-based Genetic Algorithm for Computing the Minimum Volume Ellipsoid
Author(s):	Eric B. Howington*+ and J. Brian Gray
Companies:	University of Alabama and University of Alabama
Address:	300 Alston Hall, Tuscaloosa, AL, 35487-0226,
Keywords:	masking ; mve ; outlier ; robust covariance estimation ; robust diagnostics ; swamping
Abstract:	The minimum volume ellipsoid (MVE), introduced by Rousseeuw (1985), is a useful construct for computing robust multivariate outlier diagnostics and robust covariance matrix estimates. Exact computation of the MVE is impractical for all but the smallest datasets. Many algorithms based on the use of elemental subsets have been put forth for approximating the MVE. We review these approaches briefly and propose a new direct-search, genetic algorithm for finding the MVE. Empirical evidence is provided to show the improved performance of this method over existing techniques.

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