New highly efficient high‐breakdown estimator of multivariate scatter and location for elliptical distributions
New highly efficient high‐breakdown estimator of multivariate scatter and location for elliptical distributions
High-breakdown-point estimators of multivariate location and shape matrices, such as the MM-estimator with smooth hard rejection and the Rocke S-estimator, are generally designed to have high efficiency at the Gaussian distribution. However, many phenomena are non-Gaussian, and these estimators can therefore have poor efficiency. This paper proposes a new tunable …