Some Results on the Existence, Uniqueness, and Computation of the M-Estimates of Multivariate Location and Scatter

DOI10.1137/0909023zbMath0648.65098OpenAlexW2082223077MaRDI QIDQ3793679

David E. Tyler

Publication date: 1988

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0909023

zbMATH Keywords

algorithmcovariance matrixM-estimatesrobust estimationfixed point algorithmmultivariate location and scatterfinite sample sizebounded influence regressionsensitivity bound

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05) Probabilistic methods, stochastic differential equations (65C99)

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