Croux, C.; Haesbroeck, G. - Centre de Méthodes Quantitatives et Operations … - 1998
The minimum Covariance Determinant (MCD) scatter estimator is a highly robust estimator for the dispersion matrix of a multivariate, elliptically symmetric distribution. It is fast to compute and intuitively appealing. In this note we derive its influence function and compute the asymptotic...