One-step M-estimates of scatter and the independence property

DOI10.1016/J.SPL.2015.12.006zbMath1338.62097OpenAlexW2220659431MaRDI QIDQ273711

F. Blanchet-Sadri, M. Dambrine

Publication date: 22 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.spl.2015.12.006

zbMATH Keywords

weight functionindependent component analysiscovariance matrixscatter functional

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (1)

On the usage of joint diagonalization in multivariate statistics

Cites Work

• Invariant Co-Ordinate Selection
• Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
• Robust m-estimators of multivariate location and scatter
• A cautionary note on robust covariance plug-in methods

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