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I wanted to use a robust version of covariance and mean. There are many methods like the FastMCD, Olive-Hawkins and DetMCD that achieve this. However, I would like to know how biased is the the final estimate I get.

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  • $\begingroup$ Have you had a look at this answer? $\endgroup$ – user603 Oct 31 '16 at 9:50
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Have a look at the following paper: Shape Bias of Robust Covariance Estimators: An Empirical Study M. Hubert · P. Rousseeuw · K. Vakili. You can grab a copy here

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    $\begingroup$ Can you please extend your answer? What about summarizing the paper? At the moment this is rather a comment than an answer $\endgroup$ – Ferdi Mar 30 '17 at 8:13

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