Regression model
稳健协方差估计 (MCD)
最小协方差行列式 (MCD) 稳健协方差估计可估计一个不会被异常值扭曲的多变量均值向量和协方差矩阵。 Rousseeuw 和 Van Driessen (1999) 的 Fast-MCD 算法使其得以实际应用，该算法建立在 Rousseeuw 早期关于稳健估计的工作之上。
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Method map
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来源
- Rousseeuw, P. J. & Van Driessen, K. (1999). A Fast Algorithm for the Minimum Covariance Determinant Estimator. Technometrics, 41(3), 212-223. DOI: 10.1080/00401706.1999.10485670 ↗
- Rousseeuw, P. J. & Leroy, A. M. (1987). Robust Regression and Outlier Detection. Wiley. ISBN: 978-0471488552
如何引用本页
ScholarGate. (2026, June 1). Minimum Covariance Determinant Estimation. ScholarGate. https://scholargate.app/zh/statistics/robust-covariance
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- 最小裁剪平方和（LTS）回归统计学↔ compare
- 中位数绝对离差 (MAD) 估计统计学↔ compare
- 稳健方差分析（Welch & Trimmed Mean）统计学↔ compare
- Theil-Sen 估计器统计学↔ compare