Robust hotelling's T2 statistic based on M-estimator

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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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)
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
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