Influence Function and Efficiency of the Minimum Covariance Determinant Scatter Matrix Estimator |
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| Authors: | Christophe Croux Gentiane Haesbroeck |
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| Affiliation: | Université Libre de Bruxelles, Brussels, Belgiumf1;University of Liège, Liège, Belgium, f2 |
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| Abstract: | The minimum covariance determinant (MCD) scatter estimator is a highly robust estimator for the dispersion matrix of a multivariate, elliptically symmetric distribution. It is relatively 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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| Keywords: | influence function minimum covariance determinant estimator robust estimation scatter matrix |
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