Title: Econometric applications of high-breakdown robust regression techniques
Authors: Zaman, Asad
Rousseeuw, Peter
Orhan, Mehmet # ×
Issue Date: 2001
Publisher: North Holland
Series Title: Economics Letters vol:71 issue:1 pages:1-8
Abstract: 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.
ISSN: 0165-1765
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Statistics Section
× corresponding author
# (joint) last author

Files in This Item:

There are no files associated with this item.

Request a copy


All items in Lirias are protected by copyright, with all rights reserved.

© Web of science