Robust methods of estimation of correlation coefficients
type: Item
instance of: scholarly article
title: Robust methods of estimation of correlation coefficients
zbMATH Open document ID: 0625.93062
author: V. R. Pasman
author: G. L. Shevlyakov
published in: Automation and Remote Control
publication date: 1987-01-01T00:00:00Z
review text: The estimation of the correlation coefficient of a bivariate normal distribution is considered for the case that the sample is ``contaminated'' with data that have a different distribution. A number of conventional robust algorithms are studied, and some new algorithms are proposed. Their properties are examined on finite samples and in the asymptotic case. These algorithms can be used in robust estimation of the covariance matrices and the correlation functions of stochastic processes.
Mathematics Subject Classification ID: 93E10
Mathematics Subject Classification ID: 62F35
Mathematics Subject Classification ID: 93E25
Mathematics Subject Classification ID: 65C99
zbMATH DE Number: 4016737
zbMATH Keywords: correlation coefficient
zbMATH Keywords: bivariate normal distribution
zbMATH Keywords: robust algorithms
zbMATH Keywords: robust estimation
zbMATH Keywords: covariance matrices
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 4016737