Reference : Influence function and efficiency of the minimum covariance determinant scatter matrix e...
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
http://hdl.handle.net/2268/28466
Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
English
Croux, C. [> > > >]
Haesbroeck, Gentiane mailto [Université de Liège - ULg > Département de mathématique > Statistique (aspects théoriques) >]
1999
Journal of Multivariate Analysis
Academic Press
71
2
161-190
Yes (verified by ORBi)
International
0047-259X
[en] influence function ; minimum covariance determinant estimator ; robust estimation ; scatter matrix
[en] The 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.
http://hdl.handle.net/2268/28466

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