ASYMPTOTICS FOR THE MINIMUM COVARIANCE DETERMINANT ESTIMATOR

被引：117

作者：

BUTLER, RW

DAVIES, PL

JHUN, M

机构：

[1] UNIV ESSEN GESAMTHSCH,FACHBEREICH MATH,W-4300 ESSEN 1,GERMANY

[2] KOREA UNIV,DEPT STAT,SEOUL 136701,SOUTH KOREA

来源：

ANNALS OF STATISTICS | 1993年 / 21卷 / 03期

关键词：

MINIMUM COVARIANCE DETERMINANT ESTIMATOR; TOLERANCE REGION;

D O I：

10.1214/aos/1176349264

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Consistency is shown for the minimum covariance determinant (MCD) estimators of multivariate location and scale and asymptotic normality is shown for the former. The proofs are made possible by showing a separating ellipsoid property for the MCD subset of observations. An analogous property is shown for the MCD subset computed from the population distribution.

引用

页码：1385 / 1400

页数：16

共 11 条

[1] [Anonymous], 2003, ROBUST REGRESSION OU
[2] BUTLER R, 1983, J ROY STAT SOC B MET, V45, P120
[3] NONPARAMETRIC INTERVAL AND POINT PREDICTION USING DATA TRIMMED BY A GRUBBS-TYPE OUTLIER RULE
BUTLER, RW
[J]. ANNALS OF STATISTICS, 1982, 10 (01) : 197 - 204
[4] MODEL-FREE ONE-STEP-AHEAD PREDICTION INTERVALS - ASYMPTOTIC THEORY AND SMALL SAMPLE SIMULATIONS
CHO, S
MILLER, RB
[J]. ANNALS OF STATISTICS, 1987, 15 (03) : 1064 - 1078
[5] THE ASYMPTOTICS OF ROUSSEEUW MINIMUM VOLUME ELLIPSOID ESTIMATOR
DAVIES, L
[J]. ANNALS OF STATISTICS, 1992, 20 (04) : 1828 - 1843
[6] AN EFFICIENT FRECHET DIFFERENTIABLE HIGH BREAKDOWN MULTIVARIATE LOCATION AND DISPERSION ESTIMATOR
DAVIES, L
[J]. JOURNAL OF MULTIVARIATE ANALYSIS, 1992, 40 (02) : 311 - 327
[7] ASYMPTOTIC-BEHAVIOR OF S-ESTIMATES OF MULTIVARIATE LOCATION PARAMETERS AND DISPERSION MATRICES
DAVIES, PL
[J]. ANNALS OF STATISTICS, 1987, 15 (03) : 1269 - 1292
[8] THE EXCESS-MASS ELLIPSOID
NOLAN, D
[J]. JOURNAL OF MULTIVARIATE ANALYSIS, 1991, 39 (02) : 348 - 371
[9] Pollard D., 1984, CONVERGENCE STOCHAST
[10] ROUSSEEUW PJ, 1983, MATH STAT APPL B, P283

← 1 2 →