JSM 2005 - Toronto

Abstract #304528

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 199
Type: Contributed
Date/Time: Monday, August 8, 2005 : 2:00 PM to 3:50 PM
Sponsor: Section on Statistical Computing
Abstract - #304528
Title: New Approaches for Finding the Minimum Volume Ellipsoid
Author(s): J. Brian Gray*+ and Eric B. Howington
Companies: The University of Alabama and Coastal Carolina University
Address: Dept of IS Statistics Mgt Science, Tuscaloosa, AL, 35487-0226, United States
Keywords: genetic algorithm ; voting procedure ; outlier ; robust estimation ; covariance estimation
Abstract:

The minimum volume ellipsoid (MVE) 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. A variety of approaches have been developed for approximating the MVE. We review these approaches and propose two new approaches, a direct search of the ellipsoid space using an original, matrix-based genetic algorithm and a voting procedure. The proposed methods are compared to existing techniques using real and simulated data.

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