Title
The influence function of the StahelDonoho covariance estimator of smallest outlyingness The influence function of the StahelDonoho covariance estimator of smallest outlyingness
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
article
Publication
Amsterdam ,
Subject
Mathematics
Source (journal)
Statistics and probability letters. - Amsterdam
Volume/pages
79(2009) :3 , p. 275-282
ISSN
0167-7152
ISI
000263424000001
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
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.
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