The influence function of the Stahel-Donoho covariance estimator of smallest outlyingness

DOI10.1016/j.spl.2008.08.006zbMath1169.62049OpenAlexW2167963310MaRDI QIDQ1003777

J. Martínez

Publication date: 4 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.08.006

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

The FastHCS algorithm for robust PCA ⋮ Shape bias of robust covariance estimators: an empirical study ⋮ Robust kernel principal component analysis and classification ⋮ Principal component regression for data containing outliers and missing elements ⋮ Stahel-Donoho estimators with cellwise weights ⋮ Stahel–Donoho estimation for high-dimensional data

Uses Software

• ROBPCA

Cites Work

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• Asymptotics of reweighted estimators of multivariate location and scatter
• The influence function of the Stahel--Donoho estimator of multivariate location and scatter.
• On the Stahel-Donoho estimator and depth-weighted means of multivariate data.
• Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
• Asymptotic distributions of principal components based on robust dispersions
• Least Median of Squares Regression
• Principal component analysis based on robust estimators of the covariance or correlation matrix: influence functions and efficiencies
• The Behavior of the Stahel-Donoho Robust Multivariate Estimator

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