Title: The minimum weighted covariance determinant estimator
Authors: Roelant, Ella ×
Van Aelst, Stefan
Willems, Gert #
Issue Date: 2009
Series Title: METRIKA vol:70 issue:2 pages:177-204
Abstract: In this paper we introduce weighted estimators of the location and dispersion of a multivariate data set with weights based on the ranks of the Mahalanobis
distances. We discuss some properties of the estimators like the breakdown point, influence function and asymptotic variance. The outlier detection capacities of different
weight functions are compared. A simulation study is given to investigate the finite-
sample behavior of the estimators
ISSN: 0026-1335
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Non-KU Leuven Association publications
× corresponding author
# (joint) last author

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