Robust methods of estimation of correlation coefficients (Q580298): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Latest revision as of 00:41, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust methods of estimation of correlation coefficients |
scientific article |
Statements
Robust methods of estimation of correlation coefficients (English)
0 references
1987
0 references
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.
0 references
correlation coefficient
0 references
bivariate normal distribution
0 references
robust algorithms
0 references
robust estimation
0 references
covariance matrices
0 references
