Asymptotics for the minimum covariance determinant estimator (Q1314461): Difference between revisions
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Revision as of 01:38, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Asymptotics for the minimum covariance determinant estimator |
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Asymptotics for the minimum covariance determinant estimator (English)
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28 February 1994
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The minimum covariance determinant (MCD) estimators of multivariate location and scale parameters are shown to be consistent. Moreover, the MCD estimator of multivariate location is proved to be asymptotically normal. The proofs are given by showing a separating ellipsoid property for the MCD subset of observations. An analogous property is given for the MCD subset computed from the population distribution.
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consistency
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asymptotic normality
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minimum covariance determinant estimators
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multivariate location and scale
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separating ellipsoid property
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MCD
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