Innuence Function and Eeciency of the Minimum Covariance Determinant Scatter Matrix Estimator
نویسندگان
چکیده
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 innuence function and compute the asymptotic variances of its elements. A comparison with the one step reweighted MCD and with S-estimators is made. Also nite-sample results are reported.
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