Influence Function and Efficiency of the Minimum Covariance Determinant Scatter Matrix Estimator

Christophe Croux and Gentiane Haesbroeck

Journal of Multivariate Analysis, 1999, vol. 71, issue 2, 161-190

Abstract: 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.

Keywords: influence; function; minimum; covariance; determinant; estimator; robust; estimation; scatter; matrix (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (59)

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