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)
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Abstract
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.
| Item Type: | Conference or Workshop Item (Lecture) |
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| Additional Information: | Indexed by Scopus |
| Uncontrolled Keywords: | Hotelling’s T2 statistic; M-estimator; Robust estimator; Outlier |
| Subjects: | Q Science > QA Mathematics |
| Faculty/Division: | Center for Mathematical Science Institute of Postgraduate Studies |
| Depositing User: | Pn. Hazlinda Abd Rahman |
| Date Deposited: | 22 Mar 2022 02:55 |
| Last Modified: | 22 Mar 2022 02:55 |
| URI: | http://umpir.ump.edu.my/id/eprint/32784 |
| Download Statistic: | View Download Statistics |
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