The asymptotics of Rousseeuw's minimum volume ellipsoid estimator

P.L. Davies

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    Abstract

    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.
    Original languageEnglish
    Pages (from-to)1828-1843
    JournalThe Annals of Statistics
    Volume20
    Issue number4
    DOIs
    Publication statusPublished - 1992

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