Minimum density power divergence estimator for covariance matrix based on skew \(t\) distribution

DOI10.1007/s10260-014-0284-5zbMath1477.62248OpenAlexW1967034061MaRDI QIDQ2066869

Byungsoo Kim, Sangyeol Lee

Publication date: 14 January 2022

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-014-0284-5

zbMATH Keywords

covariance matrixrobust estimationskew \(t\) distributionminimum density power divergence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

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• Robust and efficient estimation by minimising a density power divergence
• Multivariate skewt-distribution
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• The Behavior of the Stahel-Donoho Robust Multivariate Estimator
• Robust estimation for the covariance matrix of multi-variate time series
• A general class of multivariate skew-elliptical distributions

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