A note on Tyler's modification of the MAD for the Stahel-Donoho estimator
关于 Stahel–Donoho 估计量中 Tyler 的 MAD 修正
In 1994 Tyler proposed a modification of the MAD in order to achieve the maximal possible finite sample breakdown point for the Stahel-Donoho estimator based upon the median and the modified MAD. A proof is not given, however, and as far as we know has not been published yet. Moreover there seems to be an error concerning the exact definition of the modified MAD which is needed to achieve this goal. For the sake of theoretical completeness and in order to correct this error…