Title: The influence function of the Stahel-Donoho covariance estimator of smallest outlyingness
Authors: Debruyne, Michiel ×
Hubert, Mia #
Issue Date: 2009
Publisher: North-Holland Pub. Co.
Series Title: Statistics & probability letters vol:79 issue:3 pages:275-282
Abstract: In traditional multivariate location and scatter estimation based on the Stahel–Donoho outlyingness, a weight function is applied, usually calibrated with respect to the multivariate Gaussian distribution. Other robust methods compute the covariance matrix of a fixed size subset of the data (e.g. the MCD estimator). In this paper we study a combination of both the ideas. Location and scatter are estimated using a fixed size subset of the data containing the points with smallest Stahel–Donoho outlyingness. Local robustness and asymptotic relative efficiency are investigated.
ISSN: 0167-7152
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Leuven Statistics Research Centre (LStat)
Statistics Section
× corresponding author
# (joint) last author

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