\(M\)-functionals of multivariate scatter
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Publication:2340850
DOI10.1214/15-SS109zbMath1309.62087arXiv1312.5594MaRDI QIDQ2340850
Lutz Dümbgen, Thomas Schweizer, Markus Pauly
Publication date: 21 April 2015
Published in: Statistics Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1312.5594
coercivityconvexityweak continuitymultivariate \(t\)-distributionmatrix exponential functionscatter functionalsweak differentiablity
Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35)
Related Items (12)
Testing hypotheses about covariance matrices in general MANOVA designs ⋮ Common multivariate estimators of location and scatter capture the symmetry of the underlying distribution ⋮ Robust sparse covariance estimation by thresholding Tyler's M-estimator ⋮ Gini covariance matrix and its affine equivariant version ⋮ Multivariate Myriad Filters Based on Parameter Estimation of Student-$t$ Distributions ⋮ New algorithms for \(M\)-estimation of multivariate scatter and location ⋮ On the Computation of Symmetrized M-Estimators of Scatter ⋮ Approximating symmetrized estimators of scatter via balanced incomplete \(U\)-statistics ⋮ Non-Gaussian Component Analysis: Testing the Dimension of the Signal Subspace ⋮ M-estimation with incomplete and dependent multivariate data ⋮ Testing symmetry around a subspace ⋮ On jackknifing the symmetrized Tyler matrix
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