Efficiency of the pMST and RDELA location and scatter estimators

Steffen Liebscher () and Thomas Kirschstein ()

AStA Advances in Statistical Analysis, 2015, vol. 99, issue 1, 63-82

Abstract: The paper proposes two approaches to increase the efficiency of the pMST location and scatter estimator and of the RDELA location and scatter estimator. One approach is deduced from classical reweighting, commonly employed by established robust location and scatter estimators, and the other one is derived from Chebychev’s inequality. Simulation results suggest that both approaches are applicable to increase the efficiency of both estimators. Thereby the classical reweighting approach is outperformed by the approach based on Chebychev’s inequality. Using the latter, the performance of the pMST and RDELA estimator can be brought up to the level of the reweighted minimum covariance determinant and reweighted S-estimator. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Efficiency; Multivariate; Location and scatter; Robust estimation (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s10182-014-0231-7

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