Convergence Rates in Multivariate Robust Outlier Identification |
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Authors: | Ursula Gather Claudia Becker |
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Institution: | 1. Lehrstuhl Mathematische Statistik und Industrielle Anwendungen, Universit?t Dortmund, D-44221, Dortmund 2. Fachbereich Statistik, Universit?t Dortmund, D-44221, Dortmund
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Abstract: | In investigations on the behaviour of robust estimators, typically their consistency and their asymptotic normality are studied as a necessity. Their rates of convergence, however, are often given less weight. We show here that the rate of convergence of a multivariate robust estimator to its true value plays an important role when using the estimator in procedures for identifying outliers in multivariate data. |
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