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ROBMV: Stata module for robust multivariate estimation of location and covariance

Author

Listed:
  • Ben Jann

    (University of Bern)

  • Vincenzo Verardi

    (University of Namur)

  • Catherine Vermandele

    (Universite Libre de Bruxelles)

Programming Language

Stata

Abstract

robmv provides a number of robust multivariate estimators of location and covariance. Supported are the Huber-type M estimator, the S estimator, the MM estimatior, the Minimum Volume Ellipsoid (MVE) estimator, the Minimum Covariance Determinant (MCD) estimator, and the Stahel-Donoho estimator.

Suggested Citation

  • Ben Jann & Vincenzo Verardi & Catherine Vermandele, 2021. "ROBMV: Stata module for robust multivariate estimation of location and covariance," Statistical Software Components S458895, Boston College Department of Economics, revised 19 Feb 2022.
    • Handle: RePEc:boc:bocode:s458895
    Note: This module should be installed from within Stata by typing "ssc install robmv". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/r/robmv.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/robmv_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/robmv.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/robmv.zip
    File Function: zip file of package
    Download Restriction: no
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    More about this item

    Keywords

    robust; location; covariance; Stata;
    All these keywords.

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