Theory and Applications of Recent Robust Methods
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Editorial Advisory Board Max Engelhardt EG&G Idaho, Inc. Idaho Falls, ID 83415 Harry F. Martz Group A - I M S F600 Los Alamos National Laboratory Los Alamos, NM 87545 Gary C. McDonald NAO Research & Development Center 30500 Mound Road Box 9055 Warren, MI 48090-9055 Peter R. Nelson Department of Mathematical Sciences Clemson University Martin Hall Box 341907 Clemson, SC 29634-1907 Kazuyuki Suzuki Communications and Systems Engineering Department University of Electro Communications 1-5-1 Chofugaoka Chofu-shi Tokyo 182 Japan
Theory and Applications of Recent Robust Methods
Mia Hubert Greet Pison Anja Struyf Stefan Van Aelst Editors
Springer Basel AG
Mia Hubert Department of Mathematics Katholieke Universiteit Leiwen W. de Croylaan 54 3001 Leuven Belgium
Greet Pison Department of Applied Mathematics and Computer Science Ghent University Krijgslaan281 S9 9000 Gent Belgium
E-mail: [email protected]
E-mail: [email protected] Stefan Van Aelst
Anja Struyf
Department of Applied Mathematics and Computer Science Ghent University Krijgslaan281 S9 9000 Gent Belgium E-mail: [email protected]
Department of Mathematics and Computer Science University of Antwerp Middelheimlaan 1 2020 Antwerp Belgium E-mail: [email protected]
2000 Mathematics Subject Classification 62F35, 62G35
A CIP catalogue record for this book is availablefromthe Library of Congress, Washington D.C., USA
Bibliographic information published by Die Deutsche Bibliothek Die Deutsche Bibliothek lists this publication in the Deutsche Nationalbibliografie; detailed bibliographic data is available in the Internet at .
ISBN 978-3-0348-9636-8 DOI 10.1007/978-3-0348-7958-3
ISBN 978-3-0348-7958-3 (eBook)
This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, re-use of illustrations, recitation, broadcasting, reproduction on microfilms or in other ways, and storage in data banks. For any kind of use permission of the copyright owner must be obtained.
© 2004 Springer Basel A G Originally published by Birkhäuser Verlag in 2004
Softcover reprint of the hardcover 1st edition 2004 Printed on acid-free paper produced of chlorine-free pulp. TCF
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ISBN 978-3-0348-9636-8
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Contents Preface ..................................................................
ix
List of Reviewers .........................................................
Xl
J. G. Adrover and V. J. Yohai
Bias Behavior of the Minimum Volume Ellipsoid Estimate...........
1
L. Aucremanne, G. Brys, M. Hubert, P.J. Rousseeuw and A. Struyf A Study of Belgian Inflation, Relative Prices and Nominal Rigidities using New Robust Measures of Skewness and Tail Weight ...........
13
G. Bassett, G. Gerber and P. Rocco Robust Strategies for Quantitative Investment Management
27
C. Chen An Adaptive Algorithm for Quantile Regression ...... . . . . . . . . . . . . . . .
39
A. Christmann On Properties of Support Vector Machines f
