Blankmeyer, Eric2007-04-232012-02-242007-04Blankmeyer, E. (2007). Improving the small-sample efficiency of a robust correlation matrix: A note. Texas State University-San Marcos, San Marcos, Texas.https://hdl.handle.net/10877/4104This paper reports small-sample simulations of a correlation matrix estimated robustly by P. J. Rousseeuw's MCD algorithm. It appears that the statistical efficiency of MCD can be improved significantly if a pairwise-difference transformation is first applied to the data.Text5 pages1 file (.pdf)encorrelation matrixrobustnessefficiencyPaper