Influence Function and Efficiency of the Minimum Covariance Determinant Scatter Matrix Estimator
نویسندگان
چکیده
منابع مشابه
Innuence Function and Eeciency of the Minimum Covariance Determinant Scatter Matrix Estimator
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 innuence function and compute the asymptotic variances of its elements. A comparison with the one step reweighted MCD and with S-estimators ...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 1999
ISSN: 0047-259X
DOI: 10.1006/jmva.1999.1839