Exact Iterative Computation of the Multivariate Minimum Volume Ellipsoid Estimator with a Branch and Bound Algorithm
Abstract
In this paper we develop an exact iterative algorithm for the computation of the minimum volume ellipsoid (MVE) estimator that is more efficient than the algorithm of Cook, Hawkins and Weisberg (1993). Our algorithm is based on a branch and bound (BAB) technique and it is computationally feasible for small and moderate-sized...
Paper Details
Title
Exact Iterative Computation of the Multivariate Minimum Volume Ellipsoid Estimator with a Branch and Bound Algorithm
Published Date
Jan 1, 1996
Journal
Pages
175 - 180
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History