Estimation of a covariance matrix with location: Asymptotic formulas and optimal B-robust estimators

DOI10.1016/0047-259X(87)90092-3zbMath0624.62048MaRDI QIDQ578802

Werner A. Stahel

Publication date: 1987

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

elliptical distributionsequivariant estimatorsasymptotic variance-covariance matricescovariance-location modelderivation of influence functionsnon-singular affine transformationsoptimal B-robust estimatorsspherically symmetrically distributed variate

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A class of asymptotic tests for principal component vectors
• Relationships among classes of spherical matrix distributions
• Asymptotic inference for eigenvectors
• Robust m-estimators of multivariate location and scatter
• Robustness and efficiency properties of scatter matrices
• Projection-Pursuit Approach to Robust Dispersion Matrices and Principal Components: Primary Theory and Monte Carlo
• How non-normality affects the quadratic discriminant function
• Asymptotic distributions in canonical correlation analysis and other multivariate procedures for nonnormal populations
• The effect of huberizing and trimming on the Quadratic-discriminant function
• Robust Estimation of Dispersion Matrices and Principal Components
• Robust Procedures in Multivariate Analysis I: Robust Covariance Estimation
• Robust Procedures in Multivariate Analysis II. Robust Canonical Variate Analysis
• Radial estimates and the test for sphericity
• The Influence Curve and Its Role in Robust Estimation
• Robust estimation and outlier detection with correlation coefficients
• Generalized Linear and Quadratic Discriminant Functions Using Robust Estimates
• Graphical Methods for Internal Comparisons in Multiresponse Experiments
• Robust estimation: A condensed partial survey
• Robust Statistics
• Sparse components of images and optimal atomic decompositions

This page was built for publication: Estimation of a covariance matrix with location: Asymptotic formulas and optimal B-robust estimators