ROBMV: Stata module for robust multivariate estimation of location and covariance

Ben Jann, Vincenzo Verardi and Catherine Vermandele
Additional contact information
Catherine Vermandele: Universite Libre de Bruxelles

Statistical Software Components from Boston College Department of Economics

Abstract: robmv provides a number of robust multivariate estimators of location and covariance. Supported are the Huber-type M estimator, the S estimator, the MM estimatior, the Minimum Volume Ellipsoid (MVE) estimator, the Minimum Covariance Determinant (MCD) estimator, and the Stahel-Donoho estimator.

Language: Stata
Requires: Stata version 11, moremata from SSC (q.v.)
Keywords: robust; location; covariance (search for similar items in EconPapers)
Date: 2021-01-12, Revised 2022-02-19
Note: This module should be installed from within Stata by typing "ssc install robmv". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/r/robmv.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/robmv_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/robmv.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/robmv.zip zip file of package (application/zip)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458895

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum (baum@bc.edu).