Asymptotics for the Minimum Covariance Determinant Estimator
Butler, R. W. ; Davies, P. L. ; Jhun, M.
Ann. Statist., Tome 21 (1993) no. 1, p. 1385-1400 / Harvested from Project Euclid
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Consistency is shown for the minimum covariance determinant (MCD) estimators of multivariate location and scale and asymptotic normality is shown for the former. The proofs are made possible by showing a separating ellipsoid property for the MCD subset of observations. An analogous property is shown for the MCD subset computed from the population distribution.
Publié le : 1993-09-14
Classification:  Minimum covariance determinant estimator,  tolerance region,  62H05,  62G35,  62G15 
@article{1176349264,
     author = {Butler, R. W. and Davies, P. L. and Jhun, M.},
     title = {Asymptotics for the Minimum Covariance Determinant Estimator},
     journal = {Ann. Statist.},
     volume = {21},
     number = {1},
     year = {1993},
     pages = { 1385-1400},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176349264}
}

Butler, R. W.; Davies, P. L.; Jhun, M. Asymptotics for the Minimum Covariance Determinant Estimator. Ann. Statist., Tome 21 (1993) no. 1, pp.  1385-1400. http://gdmltest.u-ga.fr/item/1176349264/