The Asymptotics of Rousseeuw's Minimum Volume Ellipsoid Estimator
The Annals of StatisticsPublished 1 December 1992Open access
Laurie Davies
Citations128
SJR quartileQ1
SJR score4.77
SNIP3.13
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Abstract
Rousseeuw's minimum volume estimator for multivariate location and dispersion parameters has the highest possible breakdown point for an affine equivariant estimator. In this paper we establish that it satisfies a local Holder condition of order $1/2$ and converges weakly at the rate of $n^{-1/3}$ to a non-Gaussian distribution.
Keywords
MathematicsDecision Sciences
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