The Distribution of Robust Distances

Mahalanobis-type distances in which the shape matrix is derived from a consistent, high-breakdown robust multivariate location and scale estimator have an asymptotic chi-squared distribution as is the case with those derived from the ordinary covariance matrix. For example, Rousseeuw's minimum covariance determinant (MCD) is a robust estimator with a high breakdown. However, even in quite large samples, the chi-squared approximation to the distances of the sample data from the MCD center with respect to the MCD shape is poor. We provide an improved F approximation that gives accurate outlier rejection points for various sample sizes.