The S-Estimator of Multivariate Location and Scatter in Stata
The S-Estimator of Multivariate Location and Scatter in Stata
In this article, we introduce a new Stata command, smultiv, that implements the S-estimator of multivariate location and scatter. Using simulated data, we show that smultiv outperforms mcd, an alternative robust estimator. Finally, we use smultiv to perform robust principal component analysis and least-squares regression on a real dataset.