The S-estimator of multivariate location and scatter in Stata

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.

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Year of publication:	2012
Authors:	Verardi, Vincenzo ; McCathie, Alice
Published in:	Stata Journal. - StataCorp LP. - Vol. 12.2012, 2, p. 299-307
Publisher:	StataCorp LP
Subject:	smultiv \| S-estimator \| robustness \| outlier \| robust principal component analysis \| robust regression

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Type of publication:	Article
Notes:	to access software from within Stata, net describe http://www.stata-journal.com/software/sj12-2/st0229/
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011002410