Influence Function and Efficiency of the Minimum Covariance Determinant Scatter Matrix Estimator
AbstractThe minimum covariance determinant (MCD) scatter estimator is a highly robust estimator for the dispersion matrix of a multivariate, elliptically symmetric distribution. It is relatively fast to compute and intuitively appealing. In this note we derive its influence function and compute the asymptotic variances of its elements. A comparison with the one step reweighted MCD and with S-estimators is made. Also finite-sample results are reported.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 71 (1999)
Issue (Month): 2 (November)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Rousseeuw, Peter J. & Croux, Christophe, 1994. "The bias of k-step M-estimators," Statistics & Probability Letters, Elsevier, vol. 20(5), pages 411-420, August.
- Davies, Laurie, 1992. "An efficient Fréchet differentiable high breakdown multivariate location and dispersion estimator," Journal of Multivariate Analysis, Elsevier, vol. 40(2), pages 311-327, February.
- Hawkins, Douglas M., 1994. "The feasible solution algorithm for the minimum covariance determinant estimator in multivariate data," Computational Statistics & Data Analysis, Elsevier, vol. 17(2), pages 197-210, February.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.