Robust hotelling's T2 statistic based on M-estimator
Hotelling’s T2 statistic is the multivariate generalization of the student’s t statistic. Hotelling’s T2 statistic is a method for testing hypotheses about multidimensional means. However, the classical Hotelling’s T2 statistic is very sensitive to the presence of outliers. In order to overcome this...
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| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
IOP Publishing
2021
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| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/32784/1/Robust%20hotelling%E2%80%99s%20T2%20statistic%20based%20on%20M-estimator.pdf http://umpir.ump.edu.my/id/eprint/32784/ https://doi.org/10.1088/1742-6596/1988/1/012116 |
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| Summary: | Hotelling’s T2 statistic is the multivariate generalization of the student’s t statistic. Hotelling’s T2 statistic is a method for testing hypotheses about multidimensional means. However, the classical Hotelling’s T2 statistic is very sensitive to the presence of outliers. In order to overcome this limitation, a modification is needed so that Hotelling’s T2 is robust. In this paper, classical Hotelling’s T2 statistic has been modified by substituting mean vector and covariance matrix with a robust estimator. M-estimator has been used for this modification. The performance of modified Hotelling’s T2 statistic has been compared with the classical Hotelling’s T 2 statistic and discussed in this paper to illustrate the advantage of modified Hotelling’s T2 statistic towards outliers. The performance of modified Hotelling’s T 2 statistic is better than classical Hotelling’s T2 when number of sample, n and dimension, p is small. |
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