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A Fast Algorithm for the Minimum Covariance Determinant Estimator
1999
Technometrics
The minimum covariance determinant (MCD) method of Rousseeuw (1984) is a highly robust estimator of multivariate location and scatter. Its objective is to nd h observations (out of n) whose covariance matrix has the lowest determinant. Until now applications of the MCD were hampered by the computation time of existing algorithms, which were limited to a few hundred objects in a few dimensions. We discuss two important applications of larger size: one about a production process at Philips with n
doi:10.1080/00401706.1999.10485670
fatcat:7gfxkaahbjdblawybd7m6sbppi