The feasible solution algorithm for the minimum covariance determinant estimator in multivariate data

Outliers in multivariate data present a particularly intractable problem. There are various criteria for their identification, and for the related problem of high breakdown robust estimation of multivariate location and scale, but to date no reliable algorithm has been proposed for fitting by these criteria. The most widely used multivariate high breakdown method is the minimum volume ellipsoid (MVE) approach which seeks the ellipsoid of minimum...