oaioai:CiteSeerX.psu:10.1.1.573.2898

Small sample corrections for LTS and MCD

Abstract

Abstract. The least trimmed squares estimator and the minimum covariance determinant estimator [6] are frequently used robust estimators of regression and of location and scatter. Consistency factors can be computed for both methods to make the estimators consistent at the normal model. However, for small data sets these factors do not make the estimator unbiased. Based on simulation studies we therefore construct formulas which allow us to compute small sample correction factors for all sample sizes and dimensions without having to carry out any new simulations. We give some examples to illustrate the e¤ect of the correction factor

Similar works

Full text

thumbnail-image
oaioai:CiteSeerX.psu:10.1.1.573.2898Last time updated on 10/29/2017

This paper was published in CiteSeerX.

Having an issue?

Is data on this page outdated, violates copyrights or anything else? Report the problem now and we will take corresponding actions after reviewing your request.