The influence function of the Stahel-Donoho covariance estimator of smallest outlyingness

M. Debruyne and M. Hubert

Statistics & Probability Letters, 2009, vol. 79, issue 3, 275-282

Abstract: In traditional multivariate location and scatter estimation based on the Stahel-Donoho outlyingness, a weight function is applied, usually calibrated with respect to the multivariate Gaussian distribution. Other robust methods compute the covariance matrix of a fixed size subset of the data (e.g. the MCD estimator). In this paper we study a combination of both the ideas. Location and scatter are estimated using a fixed size subset of the data containing the points with smallest Stahel-Donoho outlyingness. Local robustness and asymptotic relative efficiency are investigated.

Date: 2009
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