The S-estimator of multivariate location and scatter in Stata

Vincenzo Verardi, Alice McCathie

Research output: Contribution to journalArticlepeer-review

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 leastsquares regression on a real dataset. © 2012 StataCorp LP.
Original languageEnglish
Pages (from-to)299-307
JournalStata Journal
Volume12
Issue number2
Publication statusPublished - 2012

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