Title: Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
Authors: Croux, Christophe ×
Haesbroeck, G #
Issue Date: Nov-1999
Publisher: Academic press inc
Series Title: Journal of multivariate analysis vol:71 issue:2 pages:161-190
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. (C) 1999 Academic Press AMS 1991 subject classifications: 62F35, 62G35.
ISSN: 0047-259X
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven
× corresponding author
# (joint) last author

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