Influence Function and Efficiency 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 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.

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Year of publication:	1999
Authors:	Croux, Christophe ; Haesbroeck, Gentiane
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 71.1999, 2, p. 161-190
Publisher:	Elsevier
Keywords:	influence function minimum covariance determinant estimator robust estimation scatter matrix

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005152940