The influence function of the Stahel--Donoho estimator of multivariate location and scatter.

DOI10.1016/S0167-7152(02)00315-2zbMath1056.62067MaRDI QIDQ1871356

Daniel Gervini

Publication date: 7 May 2003

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Asymptotic relative efficiencyLocal robustnessGross-error sensitivityReweighted estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

Efficient Robust Regression via Two-Stage Generalized Empirical Likelihood, Robust discrimination under a hierarchy on the scatter matrices, Robust Variable Selection With Exponential Squared Loss, Influence functions of some depth functions, and application to depth-weighted L-statistics, Robust tests for the common principal components model, Stahel-Donoho estimators with cellwise weights, The influence function of the Stahel-Donoho covariance estimator of smallest outlyingness, Stahel–Donoho estimation for high-dimensional data

Cites Work

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• On the Stahel-Donoho estimator and depth-weighted means of multivariate data.
• The Behavior of the Stahel-Donoho Robust Multivariate Estimator