The asymptotics of Rousseeuw's minimum volume ellipsoid estimator

P.L. Davies

doi:10.1214/aos/1176348891

The asymptotics of Rousseeuw's minimum volume ellipsoid estimator

P.L. Davies

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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.

Originele taal-2	Engels
Pagina's (van-tot)	1828-1843
Tijdschrift	The Annals of Statistics
Volume	20
Nummer van het tijdschrift	4
DOI's	https://doi.org/10.1214/aos/1176348891
Status	Gepubliceerd - 1992

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10.1214/aos/1176348891

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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\textasciicircum{}\{-1/3\}\$ to a non-Gaussian distribution.",

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The asymptotics of Rousseeuw's minimum volume ellipsoid estimator

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