方法对比
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| 稳健协方差估计 (MCD)× | Theil-Sen 估计器× | |
|---|---|---|
| 领域 | 统计学 | 统计学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1999 | 1968 |
| 提出者≠ | Rousseeuw; Rousseeuw & Van Driessen (Fast-MCD) | Henri Theil (1950); P. K. Sen (1968) |
| 类型≠ | Robust multivariate location-scatter estimator | Robust linear regression |
| 开创性文献≠ | Rousseeuw, P. J. & Van Driessen, K. (1999). A Fast Algorithm for the Minimum Covariance Determinant Estimator. Technometrics, 41(3), 212-223. DOI ↗ | Sen, P. K. (1968). Estimates of the Regression Coefficient Based on Kendall's Tau. Journal of the American Statistical Association, 63(324), 1379-1389. DOI ↗ |
| 别名≠ | minimum covariance determinant, MCD estimator, robust covariance estimation, Robust Kovaryans Tahmini (MCD) | Theil-Sen Tahmincisi, Theil-Sen regression, median slope estimator, Sen's slope estimator |
| 相关≠ | 4 | 6 |
| 摘要≠ | 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. | The Theil-Sen estimator is a robust linear regression method that estimates the slope as the median of the slopes computed over all pairs of data points. Introduced by Henri Theil in 1950 and extended by P. K. Sen in 1968, it tolerates outliers in the response with a breakdown point of about 29%. |
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