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

Research output: Contribution to journal › Article › Academic › peer-review

305 Downloads (Pure)

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

Access to Document

10.1214/aos/1176349264

Metis214120Final published version, 949 KB

Cite this

@article{0f3f2a12ea9f40dd9b4655f9d2b82343,

title = "Asymptotics for the minimum covariance determinant estimator",

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.",

author = "R.W. Butler and P.L. Davies and M. Jhun",

year = "1993",

doi = "10.1214/aos/1176349264",

language = "English",

volume = "21",

pages = "1385--1400",

journal = "The Annals of Statistics",

issn = "0090-5364",

publisher = "Institute of Mathematical Statistics",

number = "3",

}

TY - JOUR

T1 - Asymptotics for the minimum covariance determinant estimator

AU - Butler, R.W.

AU - Davies, P.L.

AU - Jhun, M.

PY - 1993

Y1 - 1993

N2 - 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.

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.

U2 - 10.1214/aos/1176349264

DO - 10.1214/aos/1176349264

M3 - Article

SN - 0090-5364

VL - 21

SP - 1385

EP - 1400

JO - The Annals of Statistics

JF - The Annals of Statistics

IS - 3

ER -

Asymptotics for the minimum covariance determinant estimator

Abstract

Access to Document

Fingerprint

Cite this