On Tyler's \(M\)-functional of scatter in high dimension
From MaRDI portal
Publication:1280561
DOI10.1023/A:1003573311481zbMath0912.62061MaRDI QIDQ1280561
Publication date: 26 May 1999
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Related Items (46)
On high-dimensional sign tests ⋮ AFFINE-EQUIVARIANT SPATIAL MEDIAN AND ITS USE IN THE MULTIVARIATE MULTI-SAMPLE LOCATION PROBLEM ⋮ Marčenko-Pastur law for Tyler's M-estimator ⋮ Affine-invariant rank tests for multivariate independence in independent component models ⋮ Effect of kurtosis on efficiency of some multivariate medians ⋮ Computationally easy outlier detection via projection pursuit with finitely many directions ⋮ The asymptotic efficiency of the spatial median for elliptically symmetric distributions ⋮ A weighted spatial median for clustered data ⋮ Robust sparse covariance estimation by thresholding Tyler's M-estimator ⋮ Tyler's and Maronna's M-estimators: non-asymptotic concentration results ⋮ Gini covariance matrix and its affine equivariant version ⋮ Multivariate Myriad Filters Based on Parameter Estimation of Student-$t$ Distributions ⋮ New algorithms for \(M\)-estimation of multivariate scatter and location ⋮ On the Computation of Symmetrized M-Estimators of Scatter ⋮ Approximating symmetrized estimators of scatter via balanced incomplete \(U\)-statistics ⋮ Sign tests for weak principal directions ⋮ Semicircle law of Tyler's \(M\)-estimator for scatter ⋮ Robustifying principal component analysis with spatial sign vectors ⋮ Optimal rank-based tests for homogeneity of scatter ⋮ Symmetrised M-estimators of multivariate scatter ⋮ The spatial sign covariance matrix with unknown location ⋮ A generalization of Tyler's M-estimators to the case of incomplete data ⋮ A spatial rank test and corresponding estimators for several samples ⋮ Inference on the shape of elliptical distributions based on the MCD ⋮ On the multivariate spatial median for clustered data ⋮ \(k\)-step shape estimators based on spatial signs and ranks ⋮ Multivariate nonparametric tests ⋮ Inference for high-dimensional split-plot-designs: a unified approach for small to large numbers of factor levels ⋮ ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions ⋮ Tests and estimates of shape based on spatial signs and ranks ⋮ A canonical definition of shape ⋮ Equivariance and invariance properties of multivariate quantile and related functions, and the role of standardisation ⋮ Optimal tests for homogeneity of covariance, scale, and shape ⋮ Robust covariance and scatter matrix estimation under Huber's contamination model ⋮ A review of Tyler's shape matrix and its extensions ⋮ Multivariate generalized S-estimators ⋮ On the Breakdown Properties of Some Multivariate M-Functionals* ⋮ Perturbation inequalities and confidence sets for functions of a scatter matrix. ⋮ On the Behrens–Fisher problem from the spatial median point of view ⋮ Independent component analysis based on symmetrised scatter matrices ⋮ Asymptotic distributions of robust shape matrices and scales ⋮ On jackknifing the symmetrized Tyler matrix ⋮ Unnamed Item ⋮ \(M\)-functionals of multivariate scatter ⋮ Robustness of the Affine Equivariant Scatter Estimator Based on the Spatial Rank Covariance Matrix ⋮ Nonparametrically consistent depth-based classifiers
This page was built for publication: On Tyler's \(M\)-functional of scatter in high dimension
