Convergence rates in multivariate robust outlier identification

Ursula Gather and Claudia Becker

No 1997,10, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: In investigations on the behaviour of robust estimators, typically their consistency and their asymptotic normality are studied as a necessity. Their rates of convergence, however, are often given less weight. We show here that the rate of convergence of a multivariate robust estimator to its true value plays an important role when using the estimator in procedures for identifying outliers in multivariate data.

Keywords: Outlier identification; Convergence rates (search for similar items in EconPapers)
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:199710

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