Article (Scientific journals)
Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
Croux, C.; Haesbroeck, Gentiane
1999In Journal of Multivariate Analysis, 71 (2), p. 161-190
Peer Reviewed verified by ORBi
 

Files


Full Text
text.pdf
Author preprint (640.69 kB)
Request a copy

All documents in ORBi are protected by a user license.

Send to



Details



Keywords :
influence function; minimum covariance determinant estimator; robust estimation; scatter matrix
Abstract :
[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
Publication date :
1999
Journal title :
Journal of Multivariate Analysis
ISSN :
0047-259X
eISSN :
1095-7243
Publisher :
Academic Press
Volume :
71
Issue :
2
Pages :
161-190
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 18 November 2009

Statistics


Number of views
103 (9 by ULiège)
Number of downloads
4 (1 by ULiège)

Scopus citations®
 
181
Scopus citations®
without self-citations
154
OpenCitations
 
175

Bibliography


Similar publications



Contact ORBi