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

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.

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Year of publication:	1998
Authors:	Croux, C. ; Haesbroeck, G.
Institutions:	Centre de Méthodes Quantitatives et Operations Management (QuantOM), HEC École de Gestion
Subject:	ESTIMATOR \| EFFICIENCY

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Series:	Liege - Groupe d'Etude des Mathematiques du Management et de l'Economie.
Type of publication:	Book / Working Paper
Notes:	28 pages
Classification:	C13 - Estimation ; C10 - Econometric and Statistical Methods: General. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005479094