Asymptotic expansion of the minimum covariance determinant estimators

DOI10.1016/J.JMVA.2010.06.009zbMATH Open1198.62049arXiv0908.3767OpenAlexW2033533776MaRDI QIDQ604353FDOQ604353

Hendrik P. Lopuhaä, Eric A. Cator

Publication date: 10 November 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: In arXiv:0907.0079 by Cator and Lopuhaa, an asymptotic expansion for the MCD estimators is established in a very general framework. This expansion requires the existence and non-singularity of the derivative in a first-order Taylor expansion. In this paper, we prove the existence of this derivative for multivariate distributions that have a density and provide an explicit expression. Moreover, under suitable symmetry conditions on the density, we show that this derivative is non-singular. These symmetry conditions include the elliptically contoured multivariate location-scatter model, in which case we show that the minimum covariance determinant (MCD) estimators of multivariate location and covariance are asymptotically equivalent to a sum of independent identically distributed vector and matrix valued random elements, respectively. This provides a proof of asymptotic normality and a precise description of the limiting covariance structure for the MCD estimators.

Full work available at URL: https://arxiv.org/abs/0908.3767

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zbMATH Keywords

asymptotic normalityinfluence functionminimum covariance determinant

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric robustness (62G35) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

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Cited In (18)

• Robust estimation of precision matrices under cellwise contamination
• Robust estimation of the hierarchical model for responses and response times
• On the asymptotic behavior of the leading eigenvector of Tyler's shape estimator under weak identifiability
• On testing the equality of latent roots of scatter matrices under ellipticity
• Strong consistency and robustness of the forward search estimator of multivariate location and scatter
• Inference on the shape of elliptical distributions based on the MCD
• Consistency factor for the MCD estimator at the Student-\(t\) distribution
• Robust multiple-set linear canonical analysis based on minimum covariance determinant estimator
• Efficient R-Estimation of Principal and Common Principal Components
• Robust asymptotic tests for the equality of multivariate coefficients of variation
• Small - sample correction factor of the minimum covariance determinant estimator
• On Huber's contaminated model
• Central limit theorem and influence function for the MCD estimators at general multivariate distributions
• Preliminary Multiple-Test Estimation, With Applications to k-Sample Covariance Estimation
• On extreme quantile region estimation under heavy-tailed elliptical distributions
• Minimum covariance determinant and extensions
• Separable expansions for covariance estimation via the partial inner product
• Adaptive exponential power depth with application to classification

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