Robust \(M\)-estimation of a dispersion matrix with a structure

DOI10.1007/BF00121648zbMath0760.62051OpenAlexW2171347837MaRDI QIDQ1206622

Madhusudan Bhandary

Publication date: 1 April 1993

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00121648

zbMATH Keywords

outliersiterative algorithmconsistencyasymptotic normalitycovariance matrixsignal processingelliptically symmetric distributionrobust \(M\)-estimation of the dispersion matrix

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

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• Robust m-estimators of multivariate location and scatter
• On detection of the number of signals in presence of white noise
• On detection of the number of signals when the noise covariance matrix is arbitrary
• Some contributions to maximum likelihood factor analysis
• Robust estimation and outlier detection with correlation coefficients
• Generalization of the Theorem of Glivenko-Cantelli
• Robust Statistics

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