Computation of the Minimum Covariance Determinant Estimator

Abstract

Robust estimation of location and scale in the presence of outliers is an important task in classification. Outlier sensitive estimation will lead to a large number of misclassifications. Rousseeuw introduced two estimators with high breakdown point, namely the minimum-volume-ellipsoid estimator (MVE) and the minimum-covariance-determinant estimator (MCD). While the MCD estimator has better theoretical properties than the MVE, the latter one appears to be used more widely. This may be due to the lack of fast algorithms for computing the MCD, up to now.