Title
Small sample corrections for LTS and MCD
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Faculty of Social Sciences. Communication Sciences
Publication type
article
Publication
Wien ,
Subject
Mathematics
Source (journal)
Metrika. - Wien
Source (book)
International Conference on Robust Statistics, JUL 23-27, 2001, VORAU, AUSTRIA
Volume/pages
55(2002) :1-2 , p. 111-123
ISSN
0026-1335
ISI
000175702200011
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
The least trimmed squares estimator and the minimum covariance determinant estimator [6] are frequently used robust estimators of regression and of location and scatter, Consistency factors can be computed for both methods to make the estimators consistent at the normal model. However, for small data sets these factors do not make the estimator unbiased. Based on simulation studies we therefore construct formulas which allow us to compute small sample correction factors for all sample sizes and dimensions without having to carry out any new simulations. We give some examples to illustrate the effect of the correction factor.
E-info
https://repository.uantwerpen.be/docman/iruaauth/8d643c/9126714.pdf
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