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Title
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The influence function of the StahelDonoho covariance estimator of smallest outlyingness
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Author
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Abstract
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| In traditional multivariate location and scatter estimation based on the StahelDonoho outlyingness, a weight function is applied, usually calibrated with respect to the multivariate Gaussian distribution. Other robust methods compute the covariance matrix of a fixed size subset of the data (e.g. the MCD estimator). In this paper we study a combination of both the ideas. Location and scatter are estimated using a fixed size subset of the data containing the points with smallest StahelDonoho outlyingness. Local robustness and asymptotic relative efficiency are investigated. |
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Language
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English
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Source (journal)
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Statistics and probability letters. - Amsterdam
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Publication
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Amsterdam
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2009
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ISSN
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0167-7152
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DOI
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10.1016/J.SPL.2008.08.006
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Volume/pages
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79
:3
(2009)
, p. 275-282
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ISI
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000263424000001
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Full text (Publisher's DOI)
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