On the calculation of a robust S-estimat
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N. A. Campbell; H. P. LopuhaΓ€; P. J. Rousseeuw
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Article
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1998
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John Wiley and Sons
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English
β 106 KB
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An S-estimator of multivariate location and scale minimizes the determinant of the covariance matrix, subject to a constraint on the magnitudes of the corresponding Mahalanobis distances. The relationship between S-estimators and w-estimators of multivariate location and scale can be used to calcula