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. (C) 1999 Academic Press AMS 1991 subject classifications: 62F35, 62G35.
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Bibliographic InfoPaper provided by Katholieke Universiteit Leuven in its series Open Access publications from Katholieke Universiteit Leuven with number urn:hdl:123456789/97158.
Date of creation: Nov 1999
Date of revision:
Publication status: Published in Journal of multivariate analysis (1999-11) v.71, p.161-190
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Web page: http://www.kuleuven.be
influence function; minimum covariance determinant estimator; robust estimation; scatter matrix; volume ellipsoid estimator; multivariate location; s-estimators; asymptotics;
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