Influence Function and Efficiency of the Minimum Covariance Determinant Scatter Matrix Estimator
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...
Paper Details
Title
Influence Function and Efficiency of the Minimum Covariance Determinant Scatter Matrix Estimator
Published Date
Nov 1, 1999
Volume
71
Issue
2
Pages
161 - 190
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