Self-Critical, and Robust, Estimates for the Parameters of the Multivariate Normal Distribution.

Abstract

This algorithm yields joint robust estimates of the location vector and the variance-covariance matrix for samples from the multivariate normal distribution. The degree of robustness depends on a single filtering parameter, c, set by the user. The algorithm provides, for each observation, an internally determined weight which may be used to identify potential outliers.

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1982
Accession Number
ADA119659

Entities

People

  • A. S. Paulson
  • N. J. Delaney

Organizations

  • Rensselaer Polytechnic Institute

Tags

DTIC Thesaurus Topics

  • Algorithms
  • Computations
  • Covariance
  • Data Analysis
  • Data Science
  • Estimators
  • Gaussian Distributions
  • Information Science
  • Iterations
  • Military Research
  • New York
  • Normal Distribution
  • Numbers
  • Observation
  • Procedures (Computers)
  • Statistical Algorithms
  • Statistical Data

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Regression Analysis.