Fast MCD by Rousseeuw and Van Driessen
Number of Variables 4
Number of Observations 75
Default Value for h 40
Specified Value for h 40
Breakdown Value 48.00
- Highest Possible Breakdown Value -  

Classical Nonrobust Estimates

 

Classical Mean
VAR1 VAR2 VAR3 VAR4
3.2066666667 5.5973333333 7.2306666667 1.2786666667
 
Median and MAD
  Median MAD
VAR1 1.8 1.3
VAR2 2.2 1.1
VAR3 2.1 1.2
VAR4 0.1 0.6

MCD Estimates (Obtained by Subsampling and Iteration)

 

MCD Location Estimate
VAR1 VAR2 VAR3 VAR4
1.555 1.9575 1.7525 -0.06

Average of 40 Selected Points

The MCD scatter matrix is multiplied by a factor to make it consistent when all the data come from a single Gaussian distribution.

 

Reweighted Location Estimate
VAR1 VAR2 VAR3 VAR4
1.4857142857 1.9178571429 1.7107142857 -0.046428571
 
Eigenvalues
VAR1 VAR2 VAR3 VAR4
1.3902229288 0.9472287772 0.9302960592 0.2341353518

 


 
_type_ _NAME_ x1 x2 x3 y
COV x1 1.1009 0.1434 0.2169 0.1277
COV x2 0.1434 1.0175 0.1042 -0.0501
COV x3 0.2169 0.1042 1.0752 -0.1695
COV y 0.1277 -0.0501 -0.1695 0.3084
MEAN   1.4857 1.9179 1.7107 -0.0464
N   75.0000 75.0000 75.0000 75.0000