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.


Issue Date:
2012
Publication Type:
Journal Article
DOI and Other Identifiers:
st0259 (Other)
PURL Identifier:
http://purl.umn.edu/208011
Published in:
Stata Journal, Volume 12, Number 2
Page range:
299-307
Total Pages:
11

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 Record created 2017-04-01, last modified 2017-11-17

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