Asymptotics for the minimum covariance determinant estimator

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

doi:10.1214/aos/1176349264

Asymptotics for the minimum covariance determinant estimator

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

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Abstract

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 language	English
Pages (from-to)	1385-1400
Number of pages	16
Journal	The Annals of Statistics
Volume	21
Issue number	3
DOIs	https://doi.org/10.1214/aos/1176349264
Publication status	Published - 1993

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abstract = "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.",

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AU - Davies, P.L.

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AB - 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.

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DO - 10.1214/aos/1176349264

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JO - The Annals of Statistics

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