The Asymptotics of Rousseeuw's Minimum Volume Ellipsoid Estimator
Davies, Laurie
Ann. Statist., Tome 20 (1992) no. 1, p. 1828-1843 / Harvested from Project Euclid
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Rousseeuw's minimum volume estimator for multivariate location and dispersion parameters has the highest possible breakdown point for an affine equivariant estimator. In this paper we establish that it satisfies a local Holder condition of order $1/2$ and converges weakly at the rate of $n^{-1/3}$ to a non-Gaussian distribution.
Publié le : 1992-12-14
Classification:  Minimum volume ellipsoid,  affine invariant metrics,  Holder conditions,  cube root convergence,  62H12,  62F12,  62F35 
@article{1176348891,
     author = {Davies, Laurie},
     title = {The Asymptotics of Rousseeuw's Minimum Volume Ellipsoid Estimator},
     journal = {Ann. Statist.},
     volume = {20},
     number = {1},
     year = {1992},
     pages = { 1828-1843},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176348891}
}

Davies, Laurie. The Asymptotics of Rousseeuw's Minimum Volume Ellipsoid Estimator. Ann. Statist., Tome 20 (1992) no. 1, pp.  1828-1843. http://gdmltest.u-ga.fr/item/1176348891/