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arXiv · 2401.14359

A Stability Framework for Parameter Selection in the Minimum Covariance Determinant Problem

Qiang Heng·Hui Shen·Kenneth Lange
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Abstract

The Minimum Covariance Determinant (MCD) method is a widely adopted tool for robust estimation and outlier detection. In this paper, we introduce MCD model selection based on the notion of stability. Our best subset method leverages prior best practices such as statistical depths for initialization and concentration steps for subset refinement. Our contribution lies in constructing a bootstrap procedure to estimate the instability of the best subset algorithm. The instability path offers insights into a dataset's inlier/outlier structure and facilitates suitable choice of the subset size. We rigorously benchmark the proposed framework against existing MCD variants and illustrate its practical utility on several real-world datasets.

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Qiang Heng, Hui Shen, Kenneth Lange. 2024-01-25. A Stability Framework for Parameter Selection in the Minimum Covariance Determinant Problem. https://arxiv.org/abs/2401.14359

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