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September, 1993 Asymptotics for the Minimum Covariance Determinant Estimator
R. W. Butler, P. L. Davies, M. Jhun
Ann. Statist. 21(3): 1385-1400 (September, 1993). DOI: 10.1214/aos/1176349264

Abstract

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.

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R. W. Butler. P. L. Davies. M. Jhun. "Asymptotics for the Minimum Covariance Determinant Estimator." Ann. Statist. 21 (3) 1385 - 1400, September, 1993. https://doi.org/10.1214/aos/1176349264

Information

Published: September, 1993
First available in Project Euclid: 12 April 2007

zbMATH: 0797.62044
MathSciNet: MR1241271
Digital Object Identifier: 10.1214/aos/1176349264

Subjects:
Primary: 62H05
Secondary: 62G15, 62G35

Rights: Copyright © 1993 Institute of Mathematical Statistics

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Vol.21 • No. 3 • September, 1993
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