Robust Adaptive Estimation of Mean and Scatter Matrix in High‐Dimensional Settings

Summary Reliable estimation of the mean and the scatter matrix of multivariate data represent a fundamental task, particularly in high‐dimensional settings under the presence of outliers. This work is focused on robust estimation using the MWCD (minimum weighted covariance determinant) estimator and its regularised version (MRWCD estimator). Novel adaptive versions of the estimators are proposed together with a ‐sample extension, whose properties are evaluated through extensive simulations and a detailed analysis of real ‐sample data. These support the advantages of the newly proposed adaptive weights for the MRWCD estimator and illustrate its lower local sensitivity compared to a regularised version of the popular MCD estimator. An illustrative two‐group example demonstrates the advantage of the MRWCD estimator's adaptivity, showing how it clearly distinguishes group‐specific structure and robustly identifies outliers that standard methods may miss.

Authors

Institutions

Publication Details

Journal
International Statistical Review
Published
2026-02-09
DOI
https://doi.org/10.1111/insr.70025
Primary Topic
Advanced Statistical Methods and Models
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Robust Adaptive Estimation of Mean and Scatter Matrix in High‐Dimensional Settings

Marco Marozzi, Jan Kalina
International Statistical Review
Advanced Statistical Methods and Models
article

Robust Adaptive Estimation of Mean and Scatter Matrix in High‐Dimensional Settings

Marco Marozzi, Jan Kalina
article en

Abstract

Summary Reliable estimation of the mean and the scatter matrix of multivariate data represent a fundamental task, particularly in high‐dimensional settings under the presence of outliers. This work is focused on robust estimation using the MWCD (minimum weighted covariance determinant) estimator and its regularised version (MRWCD estimator). Novel adaptive versions of the estimators are proposed together with a ‐sample extension, whose properties are evaluated through extensive simulations and a detailed analysis of real ‐sample data. These support the advantages of the newly proposed adaptive weights for the MRWCD estimator and illustrate its lower local sensitivity compared to a regularised version of the popular MCD estimator. An illustrative two‐group example demonstrates the advantage of the MRWCD estimator's adaptivity, showing how it clearly distinguishes group‐specific structure and robustly identifies outliers that standard methods may miss.

International Statistical Review
University of Ferrara (IT), Czech Academy of Sciences (CZ), Charles University (CZ), Czech Academy of Sciences, Institute of Computer Science (CZ)
Openalex Percentile: Top 63%
Advanced Statistical Methods and Models
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.

Robust Adaptive Estimation of Mean and Scatter Matrix in High‐Dimensional Settings — Marco Marozzi, Jan Kalina · International Statistical Review (2026) | TGRS Research Map | TGRS