Asymptotic expansion of the minimum covariance determinant estimators
From MaRDI portal
Publication:604353
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.
Recommendations
- Asymptotics for the minimum covariance determinant estimator
- Central limit theorem and influence function for the MCD estimators at general multivariate distributions
- Asymptotic expansion of S‐estimators of location and covariance
- Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
- Inference on the shape of elliptical distributions based on the MCD
Cites work
- scientific article; zbMATH DE number 3986407 (Why is no real title available?)
- Asymptotic expansion of S‐estimators of location and covariance
- Asymptotics for the minimum covariance determinant estimator
- Asymptotics of reweighted estimators of multivariate location and scatter
- Breakdown points of affine equivariant estimators of multivariate location and covariance matrices
- High-Breakdown Linear Discriminant Analysis
- High-breakdown robust multivariate methods
- Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
- Influence functions and efficiencies of the canonical correlation and vector estimates based on scatter and shape matrices
- On the relation between S-estimators and M-estimators of multivariate location and covariance
- Principal component analysis based on robust estimators of the covariance or correlation matrix: influence functions and efficiencies
- Principal component analysis for data containing outliers and missing elements
- Robust dimension reduction based on canonical correlation
- Robust factor analysis.
- Robust weighted orthogonal regression in the errors-in-variables model
- The multivariate least-trimmed squares estimator
Cited in
(18)- Robust estimation of the hierarchical model for responses and response times
- Minimum covariance determinant and extensions
- Separable expansions for covariance estimation via the partial inner product
- On testing the equality of latent roots of scatter matrices under ellipticity
- Robust estimation of precision matrices under cellwise contamination
- Robust multiple-set linear canonical analysis based on minimum covariance determinant estimator
- Strong consistency and robustness of the forward search estimator of multivariate location and scatter
- On the asymptotic behavior of the leading eigenvector of Tyler's shape estimator under weak identifiability
- Small - sample correction factor of the minimum covariance determinant estimator
- Consistency factor for the MCD estimator at the Student-\(t\) distribution
- Efficient R-estimation of principal and common principal components
- Robust asymptotic tests for the equality of multivariate coefficients of variation
- On extreme quantile region estimation under heavy-tailed elliptical distributions
- Preliminary Multiple-Test Estimation, With Applications to k-Sample Covariance Estimation
- Adaptive exponential power depth with application to classification
- Central limit theorem and influence function for the MCD estimators at general multivariate distributions
- Inference on the shape of elliptical distributions based on the MCD
- On Huber's contaminated model
This page was built for publication: Asymptotic expansion of the minimum covariance determinant estimators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q604353)
