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The influence function of the Stahel–Donoho estimator of multivariate location and scatter |
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| Authors: | Daniel Gervini |
| Institution: | Department of Biostatistics, University of Zurich, Sumatrastrasse 30, Zurich 8006, Switzerland |
| Abstract: | This article derives the influence function of the Stahel–Donoho estimator of multivariate location and scatter for elliptical distributions. Local robustness and asymptotic relative efficiency are studied. The expressions obtained for the influence functions coincide with those of one-step reweighted estimators. |
| Keywords: | Asymptotic relative efficiency Gross-error sensitivity Local robustness Reweighted estimators |
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