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

@inproceedings{Cator2009CentralLT,
  title={Central limit theorem and influence function for the MCD estimators at general multivariate distributions},
  author={Eric A. Cator and Hendrik P. Lopuha{\"a}},
  year={2009}
}
The MCD estimators of multivariate location and scatter are one of the most popular robust alternatives to the ordinary sample mean and sample covariance matrix. Nowadays they are used to determine robust Mahalanobis distances in a re-weighting procedure, and used as robust plug-ins in all sorts of multivariate statistical techniques which need a location and/or covariance estimate, such as principal component analysis, factor analysis, discriminant analysis and linear multivariate regression… CONTINUE READING

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