The S-estimator of multivariate location and scatter in Stata
Vincenzo Verardi
University of Namur (FUNDP)
Center for Research in the Economics of Development (CRED)
Namur, Belgium
and
Université Libre de Bruxelles (ULB)
European Center for Advanced Research in
Economics and Statistics (ECARES)
Center for Knowledge Economics (CKE)
Bruxelles, Belgium
vverardi@fundp.ac.be
|
Alice McCathie
Université Libre de Bruxelles (ULB)
European Center for Advanced Research in Economics and Statistics (ECARES)
Bruxelles, Belgium
amccathi@ulb.ac.be
|
Abstract. 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.
View all articles by these authors:
Vincenzo Verardi, Alice McCathie
View all articles with these keywords:
smultiv, S-estimator, robustness, outlier, robust principal component analysis, robust regression
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