Asymptotic properties and influence function of a robust and simple dispersion matrix estimator

In [14], we define a robust and simple covariance estimator and give some o f its properties such as definite positiveness, consistency and B-robustnes s. In the present note, we propose to complete this theoretical study and g ive the asymptotic distribution and influence function of the estimator and of its spectral elements. (C) 2000 Academie des sciences/Editions scientif iques et medicales Elsevier SAS.