[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.
Disciplines :
Mathematics
Author, co-author :
Croux, C.
Haesbroeck, Gentiane ; Université de Liège - ULiège > Département de mathématique > Statistique (aspects théoriques)
Language :
English
Title :
Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
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