Bias Behavior of the Minimum Volume Ellipsoid Estimate

JORGE ADROVER; VÍCTOR J. YOHAI

Theory and Applications of Recent Robust Methods

Birkhäser Verlag,

Lugar: Basilea, Suiza; Año: 2004; p. 1 - 12

Rousseeuw introduced the Minimum Volume Ellipsoid (MVE) estimates of covariance matrix and multivariate location. These estimates, which are broadly used, are affine equivariant and have high breakdown point. Croux et al. (2002) derived the maximum bias curve for point mass contaminations of a non equivariant version of the MVE. In this paper we obtain a similar result for the equivariant version of the MVE estimates.