Asymptotic distributions of robust shape matrices and scales
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Publication:1021832
DOI10.1016/j.jmva.2008.11.007zbMath1274.62130OpenAlexW2099932292MaRDI QIDQ1021832
Publication date: 9 June 2009
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2008.11.007
local asymptotic normalityshape matrixm-estimatorr-estimatorrobust covariance matrix estimators-estimatorscale-invariant functionTyler's m-estimator
Asymptotic distribution theory in statistics (62E20) Nonparametric robustness (62G35) Measures of association (correlation, canonical correlation, etc.) (62H20)
Related Items (10)
Influence Functions and Efficiencies of k-Step Hettmansperger–Randles Estimators for Multivariate Location and Regression ⋮ On the Optimality of Multivariate S-Estimators ⋮ Asymptotics of the two-stage spatial sign correlation ⋮ On testing the equality of latent roots of scatter matrices under ellipticity ⋮ Semicircle law of Tyler's \(M\)-estimator for scatter ⋮ Robustifying principal component analysis with spatial sign vectors ⋮ The \(k\)-step spatial sign covariance matrix ⋮ A generalization of Tyler's M-estimators to the case of incomplete data ⋮ Inference on the shape of elliptical distributions based on the MCD ⋮ M-estimation with incomplete and dependent multivariate data
Uses Software
Cites Work
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