Robust Detection of Multivariate Outliers in Asset Returns and Risk Factors Data

Christopher G Green, R. Douglas Martin

Type: Article

Publication Date: 2017-01-01

Citations: 1

DOI: https://doi.org/10.2139/ssrn.3046092

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Works Cited by This (14)

Action	Title	Year	Authors
+ PDF Chat	The Distribution of Robust Distances	2005	Johanna Hardin David M. Rocke
+ PDF Chat	Grand Tour and Projection Pursuit	1995	Dianne Cook Andreas Buja Javier Cabrera Catherine Hurley
+	Diagnosing Multivariate Outliers Detected by Robust Estimators	2009	Gert Willems Harry Joe Ruben H. Zamar
+	Multivariate Outlier Detection With High-Breakdown Estimators	2010	Andrea Cerioli
+	Influence Function and Efficiency of the Minimum Covariance Determinant Scatter Matrix Estimator	1999	Christophe Croux Gentiane Haesbroeck
+ PDF Chat	Breakdown Points of Affine Equivariant Estimators of Multivariate Location and Covariance Matrices	1991	Hendrik P. Lopuhaä Peter J. Rousseeuw
+	Multivariate Estimation with High Breakdown Point	1985	Peter J. Rousseeuw
+	An Object-Oriented Framework for Robust Multivariate Analysis	2009	Valentin Todorov Peter Filzmoser
+	Controlling the size of multivariate outlier tests with the MCD estimator of scatter	2008	Andrea Cerioli Marco Riani Anthony C. Atkinson
+	Robust Regression and Outlier Detection	1987	Peter J. Rousseeuw Annick M. Leroy