Robust estimation of multivariate location and scatter. Toulouse, France, May 22, 2023
22nd May 2023Robust estimation of multivariate location and scatter.
May, 22, 2023In this course, we will discuss two popular methods for robust estimation of multivariate location and scatter: S-estimators and the minimum covariance determinant estimator.
In part 1 of the course, we will introduce these methods, explain their relation with M-estimators, and discuss their robustness and asymptotic properties.
In part 2 of the course, we will discuss the mathematical techniques that can be used to rigorously derive the properties and features of these methods that have been discussed in part 1.
In part 3 of the course, we illustrate their implementation in R and how to use them in practice.
The registration is open. Registration costs are only 40 euros and cover lunch.
More information on this webpage