ASYMPTOTICS FOR THE MINIMUM COVARIANCE DETERMINANT ESTIMATOR

• 成果类型: Article
• 署名作者: BUTLER, RW; DAVIES, PL; JHUN, M
• 署名单位: University of Duisburg Essen; Korea University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176349264
• 发表日期: 1993
• 页码: 1385-1400
• 关键词: multivariate location

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.