The maximum bias of robust covariances

DOI10.1080/03610929008830422zbMath0738.62040OpenAlexW2060404952MaRDI QIDQ3978082

Víctor J. Yohai, Ricardo Antonio Maronna

Publication date: 25 June 1992

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929008830422

zbMATH Keywords

quantilecontamination modelspherical distributionmaximum asymptotic biasminimum volume ellipsoid estimatorM- estimatorshigh breakdown point estimatorsrobust covariancerobust estimates of the dispersion matrixTyler estimate

Mathematics Subject Classification ID

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

Related Items (9)

Maxbias Curves of Robust Location Estimators based on Subranges ⋮ The FastHCS algorithm for robust PCA ⋮ Optimal locally robust M-estimates of regression ⋮ Shape bias of robust covariance estimators: an empirical study ⋮ Influence function and efficiency of the minimum covariance determinant scatter matrix estimator ⋮ A generalization of Tyler's M-estimators to the case of incomplete data ⋮ Finding multivariate outliers with FastPCS ⋮ Bias-robust estimators of multivariate scatter based on projections ⋮ Minimax bias-robust estimation of the dispersion matrix of a multivariate distribution

Cites Work

• A distribution-free M-estimator of multivariate scatter
• Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
• Robust m-estimators of multivariate location and scatter
• Robust Statistics

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