Improving the Small-sample Efficiency of a Robust Correlation Matrix: A Note
Date
2007-04
Authors
Blankmeyer, Eric
Journal Title
Journal ISSN
Volume Title
Publisher
Texas State University-San Marcos
Abstract
This paper 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.
Description
Keywords
correlation matrix, robustness, efficiency
Citation
Blankmeyer, E. (2007). Improving the small-sample efficiency of a robust correlation matrix: A note. Texas State University-San Marcos, San Marcos, Texas.