Asymptotics for the minimum covariance determinant estimator

R.W. Butler, P.L. Davies, M. Jhun

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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.
    Original languageEnglish
    Pages (from-to)1385-1400
    Number of pages16
    JournalThe Annals of Statistics
    Issue number3
    Publication statusPublished - 1993

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