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

C. Croux and G. Haesbroeck

Liege - Groupe d'Etude des Mathematiques du Management et de l'Economie from UNIVERSITE DE LIEGE, Faculte d'economie, de gestion et de sciences sociales, Groupe d'Etude des Mathematiques du Management et de l'Economie

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 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: ESTIMATOR; EFFICIENCY (search for similar items in EconPapers)
JEL-codes: C10 C13 (search for similar items in EconPapers)
Pages: 28 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:fth:gemame:9811

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