Abstract
In Ruiz-Gazen (Comput Stat Data Anal 21:149–162, 1996), a simple B-robust estimator was introduced. Its definition is explicit and takes into account the empirical covariance matrix together with a one-step M-estimator. In the present paper, we derive the asymptotics and some robustness properties of this estimator. We compare its performance to the usual M- and S-estimators by means of a Monte-Carlo study. We also illustrate its use for cluster detection using Invariant Coordinate Selection on a small example.
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Fekri, M., Ruiz-Gazen, A. (2015). A B-Robust Non-Iterative Scatter Matrix Estimator: Asymptotics and Application to Cluster Detection Using Invariant Coordinate Selection. In: Nordhausen, K., Taskinen, S. (eds) Modern Nonparametric, Robust and Multivariate Methods. Springer, Cham. https://doi.org/10.1007/978-3-319-22404-6_22
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DOI: https://doi.org/10.1007/978-3-319-22404-6_22
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