Regularity and uniqueness for constrained \(M\)-estimates and redescending \(M\)-estimates

DOI10.1214/aos/996986508zbMath1029.62029OpenAlexW2053136776MaRDI QIDQ1848861

David E. Tyler, John T. Kent

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/996986508

zbMATH Keywords

infinite divisibilityelliptic symmetrySchur concavity

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Infinitely divisible distributions; stable distributions (60E07) Estimation in multivariate analysis (62H12) Parametric inference under constraints (62F30) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (4)

APPLIED REGRESSION ANALYSIS BIBLIOGRAPHY UPDATE 2000–2001 ⋮ Common multivariate estimators of location and scatter capture the symmetry of the underlying distribution ⋮ Consistency of completely outlier-adjusted simultaneous redescending M-estimators of location and scale ⋮ Symmetrised M-estimators of multivariate scatter

Cites Work

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• Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
• Generalized gamma convolutions and related classes of distributions and densities
• Constrained \(M\)-estimation for multivariate location and scatter
• On the uniqueness of \(S\)-functionals and \(M\)-functionals under nonelliptical distributions.
• Techniques for nonlinear least squares and robust regression
• Identification of Outliers in Multivariate Data

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