A cautionary note on robust covariance plug-in methods
本文指出，用稳健散度矩阵替代样本协方差矩阵的插件方法可能因散度矩阵缺乏协方差矩阵的某些性质而失效，并详细分析了独立成分分析、观测回归和图形建模中的情况。
The sample covariance matrix, which is well known to be highly nonrobust, plays a central role in many classical multivariate statistical methods. A popular way of making such multivariate methods more robust is to replace the sample covariance matrix with some robust scatter matrix. The aim of this paper is to point out that multivariate methods often require that certain properties of the covariance matrix hold also for the robust scatter matrix in order for the corresponding robust plug-in method to be a valid approach, but that not all scatter matrices possess the desired properties. Plug-in methods for independent components analysis, observational regression and graphical modelling are considered in more detail. For each case, it is shown that replacing the sample covariance matrix with a symmetrized robust scatter matrix yields a valid robust multivariate procedure.