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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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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my.ump.umpir.327842022-03-22T02:55:54Z http://umpir.ump.edu.my/id/eprint/32784/ Robust hotelling's T2 statistic based on M-estimator Mohd Aizat Ahlam, Mohamad Mokhtar Wan Nur Syahidah, Wan Yusoff Chuan, Zun Liang QA Mathematics 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. IOP Publishing 2021 Conference or Workshop Item PeerReviewed pdf en cc_by http://umpir.ump.edu.my/id/eprint/32784/1/Robust%20hotelling%E2%80%99s%20T2%20statistic%20based%20on%20M-estimator.pdf Mohd Aizat Ahlam, Mohamad Mokhtar and Wan Nur Syahidah, Wan Yusoff and Chuan, Zun Liang (2021) Robust hotelling's T2 statistic based on M-estimator. In: Journal of Physics: Conference Series; 28th Simposium Kebangsaan Sains Matematik, SKSM 2021, 28 - 29 July 2021 , Kuantan, Virtual. pp. 1-8., 1988 (1). ISSN 1742-6588 (print); 1742-6596 (online) https://doi.org/10.1088/1742-6596/1988/1/012116 |
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QA Mathematics Mohd Aizat Ahlam, Mohamad Mokhtar Wan Nur Syahidah, Wan Yusoff Chuan, Zun Liang Robust hotelling's T2 statistic based on M-estimator |
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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. |
format |
Conference or Workshop Item |
author |
Mohd Aizat Ahlam, Mohamad Mokhtar Wan Nur Syahidah, Wan Yusoff Chuan, Zun Liang |
author_facet |
Mohd Aizat Ahlam, Mohamad Mokhtar Wan Nur Syahidah, Wan Yusoff Chuan, Zun Liang |
author_sort |
Mohd Aizat Ahlam, Mohamad Mokhtar |
title |
Robust hotelling's T2 statistic based on M-estimator |
title_short |
Robust hotelling's T2 statistic based on M-estimator |
title_full |
Robust hotelling's T2 statistic based on M-estimator |
title_fullStr |
Robust hotelling's T2 statistic based on M-estimator |
title_full_unstemmed |
Robust hotelling's T2 statistic based on M-estimator |
title_sort |
robust hotelling's t2 statistic based on m-estimator |
publisher |
IOP Publishing |
publishDate |
2021 |
url |
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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13.18916 |