Publication
Title
The influence function of the StahelDonoho covariance estimator of smallest outlyingness
Author
Abstract
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.
Language
English
Source (journal)
Statistics and probability letters. - Amsterdam
Publication
Amsterdam : 2009
ISSN
0167-7152
Volume/pages
79:3(2009), p. 275-282
ISI
000263424000001
Full text (Publisher's DOI)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 14.05.2009
Last edited 16.09.2017
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