Minimum covariance determinant

The minimum covariance determinant (MCD) estimator is a highly robust estimator of multivariate location and scatter. It can be computed efficiently with the FAST‐MCD algorithm of Rousseeuw and Van Driessen. Since estimating the covariance matrix is the cornerstone of many multivariate statistical m...

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Veröffentlicht in:	Wiley interdisciplinary reviews. Computational statistics 2010-01, Vol.2 (1), p.36-43
Hauptverfasser:	Hubert, Mia, Debruyne, Michiel
Format:	Artikel
Sprache:	eng
Schlagworte:	Computation Covariance matrix Data analysis Data processing Graphical methods high-breakdown Influence functions Mathematical models Multivariate analysis multivariate location and scatter outlier detection robustness Statistical analysis Statistical methods Statistics
Online-Zugang:	Volltext
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