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dc.contributor.authorBlankmeyer, Ericen_US
dc.date.accessioned2007-04-23T10:21:54Z
dc.date.available2012-02-24T10:21:54Z
dc.date.issued2007-04-23en_US
dc.identifier.urihttps://digital.library.txstate.edu/handle/10877/4104
dc.description.abstractThis note reports small-sample simulations of a correlation matrix estimated robustly by P. J. Rousseeuw's MCD algorithm. It appears that the statistical efficiency of MCD can be improved significantly if a pairwise-difference transformation is first applied to the data.en_US
dc.formatText
dc.format.extent5 pages
dc.format.medium1 file (.pdf)
dc.language.isoen_US
dc.subjectCorrelation matrixen_US
dc.subjectRobustnessen_US
dc.subjectEfficiencyen_US
dc.titleImproving the small-sample efficiency of a robust correlation matrix: a noteen_US
txstate.documenttypePaper
txstate.departmentFinance and Economics


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