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| Stima Robusta della Covarianza (MCD)× | Regression con Minimi Quadrati Trimmatizzati (Least Trimmed Squares, LTS)× | |
|---|---|---|
| Campo | Statistica | Statistica |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 1999 | 1984 |
| Ideatore≠ | Rousseeuw; Rousseeuw & Van Driessen (Fast-MCD) | Peter J. Rousseeuw |
| Tipo≠ | Robust multivariate location-scatter estimator | Robust linear regression |
| Fonte seminale≠ | Rousseeuw, P. J. & Van Driessen, K. (1999). A Fast Algorithm for the Minimum Covariance Determinant Estimator. Technometrics, 41(3), 212-223. DOI ↗ | Rousseeuw, P. J. (1984). Least Median of Squares Regression. Journal of the American Statistical Association, 79(388), 871-880. DOI ↗ |
| Alias≠ | minimum covariance determinant, MCD estimator, robust covariance estimation, Robust Kovaryans Tahmini (MCD) | LTS, least trimmed squares regression, trimmed least squares, robust regression |
| Correlati≠ | 4 | 5 |
| Sintesi≠ | Robust Covariance via the Minimum Covariance Determinant (MCD) estimates a multivariate mean vector and covariance matrix that are not distorted by outliers. It was made practical by the Fast-MCD algorithm of Rousseeuw and Van Driessen (1999), building on Rousseeuw's earlier work on robust estimation. | Least Trimmed Squares is a robust linear regression method introduced by Peter J. Rousseeuw in 1984. Instead of fitting all residuals, it estimates the coefficients by minimising the sum of only the h smallest squared residuals, which gives it a breakdown point of up to 50% and reliable estimates on data heavily contaminated by outliers. |
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