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The S-estimator of multivariate location and scatter in Stata

Vincenzo Verardi and Alice McCathie ()
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Alice McCathie: Universite Libre de Bruxelles (ULB)

Stata Journal, 2012, vol. 12, issue 2, 299–307

Abstract: In this article, we introduce a new Stata command, smultiv, that implements the S-estimator of multivariate location and scatter. Using simulated data, we show that smultiv outperforms mcd, an alternative robust estimator. Finally, we use smultiv to perform robust principal component analysis and least squares regression on a real dataset. Copyright 2012 by StataCorp LP.

Keywords: smultiv; S-estimator; robustness; outlier; robust principal component analysis; robust regression (search for similar items in EconPapers)
Date: 2012
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Handle: RePEc:tsj:stataj:v:12:y:2012:i:2:p:299-307