Van Aelst, S.; Vandervieren, E.; Willems, G. - In: Computational Statistics & Data Analysis 56 (2012) 3, pp. 531-542
The Stahel–Donoho estimator is defined as a weighted mean and covariance, where the weight of each observation depends on a measure of its outlyingness. In high dimensions, it can easily happen that a number of outlying measurements are present in such a way that the majority of observations...