Is there a function for performing robust covariance estimation by Minimum Covariance Determinant method in Statistics Toolbox 7.0 (R2008b)?

I cannot seem to find any reference to such a function in the documentation. This is not the same as robust regression estimates.

Answer 1

[MathWorks Support Team]

There are two options to perform robust covariance estimation:

1. The WMULDEN function in the Wavelet Toolbox which implements the Minimum Covariance Determinant (MCD) method:

http://www.mathworks.com/help/releases/R2011b/toolbox/wavelet/ref/wmulden.html

2. A publicly available library LIBRA: a MATLAB Library for Robust Analysis which implements robust estimation methods including MCD. The library can be accessed online at:

https://wis.kuleuven.be/statdatascience/robust/LIBRA/LIBRA-home