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The minimum regularized covariance determinant estimator |
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| Authors: | Boudt Kris Rousseeuw Peter J Vanduffel Steven Verdonck Tim |
| Institution: | 1.Department of Economics, Ghent University, Ghent, Belgium ;2.Solvay Business School, Vrije Universiteit Brussel, Brussels, Belgium ;3.School of Business and Economics, Vrije Universiteit Amsterdam, Amsterdam, The Netherlands ;4.Department of Mathematics, KU Leuven, Leuven, Belgium ;5.Department of Mathematics, Universiteit Antwerpen, Antwerpen, Belgium ; |
| Abstract: | Statistics and Computing - The minimum covariance determinant (MCD) approach estimates the location and scatter matrix using the subset of given size with lowest sample covariance determinant. Its... |
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