Trimming and likelihood: Robust location and dispersion estimation in the elliptical model

DOI10.1214/07-AOS541zbMath1148.62038arXiv0811.0503MaRDI QIDQ955142

Carlos Matrán, Agustín Mayo-Iscar, Juan Antonio Cuesta-Albertos

Publication date: 18 November 2008

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0811.0503

zbMATH Keywords

asymptoticselliptical distributionsexponential familybreakdown pointidentifiabilitymultivariate normal distributioncensored maximum likelihoodgross errors modelMVE estimatorsmart estimatortruncated maximum likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (12)

The multivariate tail-inflated normal distribution and its application in finance ⋮ Trimmed estimator for circular–circular regression: breakdown properties and an exact algorithm for computation ⋮ Multivariate elliptical truncated moments ⋮ Wide consensus aggregation in the Wasserstein space. Application to location-scatter families ⋮ Strong consistency and robustness of the forward search estimator of multivariate location and scatter ⋮ Wild adaptive trimming for robust estimation and cluster analysis ⋮ A robust conditional maximum likelihood estimator for generalized linear models with a dispersion parameter ⋮ Robust estimation and regression with parametric quantile functions ⋮ Discussion: The forward search: theory and data analysis ⋮ On consistency factors and efficiency of robust \(S\)-estimators ⋮ Robust distances for outlier-free goodness-of-fit testing ⋮ Local statistical modeling via a cluster-weighted approach with elliptical distributions

Uses Software

• robustbase

Cites Work

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