Central limit theorem and influence function for the MCD estimators at general multivariate distributions

We define the minimum covariance determinant functionals for multivariate location and scatter through trimming functions and establish their existence at any multivariate distribution. We provide a precise characterization including a separating ellipsoid property and prove that the functionals are...

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Veröffentlicht in:	Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability 2012-05, Vol.18 (2), p.520-551
Hauptverfasser:	CATOR, ERIC A., LOPUHAÄ, HENDRIK P.
Format:	Artikel
Sprache:	eng
Schlagworte:	asymptotic normality Central limit theorem Covariance Covariance matrices Determinants Ellipsoids Estimation methods Estimators influence function Marital property Mathematical minima minimum covariance determinant Point estimators
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