A generalization of Tyler's M-estimators to the case of incomplete data

DOI10.1016/j.csda.2009.08.019zbMath1464.62069OpenAlexW1965518343MaRDI QIDQ962269

Gabriel Frahm, Uwe Jaekel

Publication date: 6 April 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/44947

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

On high-dimensional sign tests, An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations, Robust sparse covariance estimation by thresholding Tyler's M-estimator, Robust tests for scatter separability beyond Gaussianity, Semicircle law of Tyler's \(M\)-estimator for scatter, Special issue on variable selection and robust procedures, Robust Estimation of Multivariate Location and Scatter in the Presence of Missing Data, M-estimation with incomplete and dependent multivariate data

Uses Software

• robustbase

Cites Work

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