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Asymptotic expansion of the minimum covariance determinant estimators

Author

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  • Cator, Eric A.
  • Lopuhaä, Hendrik P.

Abstract

In Cator and Lopuhaä (arXiv:math.ST/0907.0079) [3], an asymptotic expansion for the minimum covariance determinant (MCD) estimators is established in a very general framework. This expansion requires the existence and non-singularity of the derivative in a first-order Taylor expansion. In this paper, we prove the existence of this derivative for general multivariate distributions that have a density and provide an explicit expression, which can be used in practice to estimate limiting variances. Moreover, under suitable symmetry conditions on the density, we show that this derivative is non-singular. These symmetry conditions include the elliptically contoured multivariate location-scatter model, in which case we show that the MCD estimators of multivariate location and covariance are asymptotically equivalent to a sum of independent identically distributed vector and matrix valued random elements, respectively. This provides a proof of asymptotic normality and a precise description of the limiting covariance structure for the MCD estimators.

Suggested Citation

  • Cator, Eric A. & Lopuhaä, Hendrik P., 2010. "Asymptotic expansion of the minimum covariance determinant estimators," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2372-2388, November.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:10:p:2372-2388
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    References listed on IDEAS

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    1. Agulló, Jose & Croux, Christophe & Van Aelst, Stefan, 2008. "The multivariate least-trimmed squares estimator," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 311-338, March.
    2. Pison, Greet & Rousseeuw, Peter J. & Filzmoser, Peter & Croux, Christophe, 2003. "Robust factor analysis," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 145-172, January.
    3. Fekri, M. & Ruiz-Gazen, A., 2004. "Robust weighted orthogonal regression in the errors-in-variables model," Journal of Multivariate Analysis, Elsevier, vol. 88(1), pages 89-108, January.
    4. Croux, Christophe & Haesbroeck, Gentiane, 1999. "Influence Function and Efficiency of the Minimum Covariance Determinant Scatter Matrix Estimator," Journal of Multivariate Analysis, Elsevier, vol. 71(2), pages 161-190, November.
    5. Taskinen, Sara & Croux, Christophe & Kankainen, Annaliisa & Ollila, Esa & Oja, Hannu, 2006. "Influence functions and efficiencies of the canonical correlation and vector estimates based on scatter and shape matrices," Journal of Multivariate Analysis, Elsevier, vol. 97(2), pages 359-384, February.
    6. Zhou, Jianhui, 2009. "Robust dimension reduction based on canonical correlation," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 195-209, January.
    7. Serneels, Sven & Verdonck, Tim, 2008. "Principal component analysis for data containing outliers and missing elements," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1712-1727, January.
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    Cited by:

    1. Davy Paindaveine & Germain Van Bever, 2013. "Inference on the Shape of Elliptical Distribution Based on the MCD," Working Papers ECARES ECARES 2013-27, ULB -- Universite Libre de Bruxelles.
    2. Paindaveine, Davy & Van Bever, Germain, 2014. "Inference on the shape of elliptical distributions based on the MCD," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 125-144.
    3. Cabana Garceran del Vall, Elisa & Laniado Rodas, Henry & Lillo Rodríguez, Rosa Elvira, 2017. "Multivariate outlier detection based on a robust Mahalanobis distance with shrinkage estimators," DES - Working Papers. Statistics and Econometrics. WS 24613, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Marc Hallin & Davy Paindaveine & Thomas Verdebout, 2014. "Efficient R-Estimation of Principal and Common Principal Components," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(507), pages 1071-1083, September.
    5. Yunlu Jiang & Canhong Wen & Xueqin Wang, 2018. "Adaptive Exponential Power Depth with Application to Classification," Journal of Classification, Springer;The Classification Society, vol. 35(3), pages 466-480, October.
    6. Stephanie Aerts & Gentiane Haesbroeck, 2017. "Robust asymptotic tests for the equality of multivariate coefficients of variation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(1), pages 163-187, March.
    7. Tarr, G. & Müller, S. & Weber, N.C., 2016. "Robust estimation of precision matrices under cellwise contamination," Computational Statistics & Data Analysis, Elsevier, vol. 93(C), pages 404-420.
    8. Cerioli, Andrea & Farcomeni, Alessio & Riani, Marco, 2014. "Strong consistency and robustness of the Forward Search estimator of multivariate location and scatter," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 167-183.

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