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Robust Estimation and Outlier Detection with Correlation Coefficients

Susan J. Devlin, R. Gnanadesikan and J. R. Kettenring
Biometrika
Vol. 62, No. 3 (Dec., 1975), pp. 531-545
Published by: Oxford University Press on behalf of Biometrika Trust
DOI: 10.2307/2335508
Stable URL: http://www.jstor.org/stable/2335508
Page Count: 15
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Robust Estimation and Outlier Detection with Correlation Coefficients
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Abstract

Two graphical methods are proposed for identifying bivariate observations that may unduly influence the sample correlation coefficient. Secondly, robust estimators of correlation are developed and a Monte Carlo comparative study is made of these and other well-known estimators. Also considered are methods for developing positive-definite estimates of correlation matrices and extensions of robustness to other problems such as regression are mentioned.

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