ROBMV: Stata module for robust multivariate estimation of location and covariance

Ben Jann,Vincenzo Verardi,Catherine Vermandele

RePEc: Research Papers in Economics（2021）

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摘要

robmv provides a number of robust multivariate estimators of location and covariance. Supported are the Huber-type M estimator, the S estimator, the MM estimatior, the Minimum Volume Ellipsoid (MVE) estimator, the Minimum Covariance Determinant (MCD) estimator, and the Stahel-Donoho estimator.

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关键词

robust multivariate estimation,stata module,location

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