Publication
Title
Small sample corrections for US and MCD
Author
Abstract
The least trimmed squares estimator and the minimum covariance determinant estimator Rousseeuw (1984) 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.
Language
English
Source (book)
International Conference on Robust Statistics (ICOR 2001), July 23-27, 2001, Vorau, Austria
Publication
Heidelberg : Physica, 2003
ISBN
3-7908-1518-7
Volume/pages
p. 330-343
ISI
000179943000029
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 24.02.2012
Last edited 07.11.2017
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