Minimum Covariance Determinant Estimator Implementation

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Minimum Covariance Determinant Estimator Implementation

fevziesen
Hi all, I have calculated mahalanobis scores like below,

REGRESSION
  /MISSING LISTWISE
  /STATISTICS COEFF OUTS R ANOVA
  /CRITERIA=PIN(.05) POUT(.10)
  /NOORIGIN
  /DEPENDENT ratiocap
  /METHOD=ENTER lph lpd lpr logdeger loghacim
  /SAVE MAHAL COOK LEVER COVRATIO.

While calculating covariance, classical approach of mahalanobis uses classical covariance. Can I implement minimum covariance determinant estimator to my codes?
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Re: Minimum Covariance Determinant Estimator Implementation

David Marso
Administrator
You could probably implement it using the MATRIX language.
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fevziesen wrote
Hi all, I have calculated mahalanobis scores like below,

REGRESSION
  /MISSING LISTWISE
  /STATISTICS COEFF OUTS R ANOVA
  /CRITERIA=PIN(.05) POUT(.10)
  /NOORIGIN
  /DEPENDENT ratiocap
  /METHOD=ENTER lph lpd lpr logdeger loghacim
  /SAVE MAHAL COOK LEVER COVRATIO.

While calculating covariance, classical approach of mahalanobis uses classical covariance. Can I implement minimum covariance determinant estimator to my codes?
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