On the cumulants of affine equivariant estimators in elliptical families

DOI10.1016/0047-259X(90)90025-DzbMath0725.62050OpenAlexW2068954000MaRDI QIDQ2277712

David M. Rocke, Rudolf Grübel

Publication date: 1990

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(90)90025-d

zbMATH Keywords

expectationsmaximum likelihoodrobust estimationmultivariate regressionseemingly unrelated regressioncovariancesmean vectorscatter matrixaffine equivariant estimatorsmultivariate locationelliptically distributed errorsHigher order cumulantsorthogonal invariant tensors

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Foundations and philosophical topics in statistics (62A01) Vector and tensor algebra, theory of invariants (15A72)

Related Items (4)

Orthogonalization of multivariate location estimators: The orthomedian ⋮ Robust estimation of multivariate location and shape ⋮ A robust testing procedure for the equality of covariance matrices ⋮ Modelling and Prediction of Financial Time Series

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The information matrix, skewness tensor and \(\alpha\)-connections for the general multivariate elliptic distribution
• A distribution-free M-estimator of multivariate scatter
• Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
• Invariant scale matrix hypothesis tests under elliptical symmetry
• Robust m-estimators of multivariate location and scatter
• Asymptotic behavior of M-estimators for the linear model
• Robustness and efficiency properties of scatter matrices
• Least Median of Squares Regression
• Maximum-likelihood estimates and likelihood-ratio criteria for multivariate elliptically contoured distributions
• Analysis of Covariance Structures Under Elliptical Distributions
• Asymptotic distributions in canonical correlation analysis and other multivariate procedures for nonnormal populations
• Elliptically Symmetric Distributions: A Review and Bibliography
• Radial estimates and the test for sphericity
• Latent vectors of random symmetric matrices
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Robust Statistics

This page was built for publication: On the cumulants of affine equivariant estimators in elliptical families