A note on Tyler's modification of the MAD for the Stahel-Donoho estimator
A note on Tyler's modification of the MAD for the Stahel-Donoho estimator
In 1994 Tyler proposed a modification of the MAD in order to achieve the maximal possible finite sample breakdown point for the Stahel-Donoho estimator based upon the median and the modified MAD. A proof is not given, however, and as far as we know has not been published yet. Moreover …