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Chapter and Conference Paper
A Study of Belgian Inflation, Relative Prices and Nominal Rigidities using New Robust Measures of Skewness and Tail Weight
This paper studies the distribution of Belgian consumer price changes and its interaction with aggregate inflation over the period June 1976-September 2000. Given the fat-tailed nature of this distribution, bo...
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Chapter and Conference Paper
Robust PCA for High-dimensional Data
Principal component analysis (PCA) is a well-known technique for dimension reduction. Classical PCA is based on the empirical mean and covariance matrix of the data, and hence is strongly affected by outlying ...
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Chapter and Conference Paper
A Robust Hotelling Test
Hotelling’s T2 statistic is an important tool for inference about the center of a multivariate normal population. However, hypothesis tests and confidence intervals based on this statistic can be adversely affect...