Radial estimates and the test for sphericity

DOI10.1093/BIOMET/69.2.429zbMath0501.62041OpenAlexW2062052013MaRDI QIDQ3966933

David E. Tyler

Publication date: 1982

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/69.2.429

zbMATH Keywords

maximum likelihood estimateradial distributionsample covariance matrixsphericity testelliptical distributionradial estimatesaffine-invariant robust estimatemoments of random symmetric matricesrotatable distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (38)

The asymptotic covariance matrix of sample correlation coefficients under general conditions ⋮ Covariance matrices of quadratic forms in elliptical distributions ⋮ Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity ⋮ Semiparametrically efficient rank-based inference for shape. II: Optimal \(R\)-estimation of shape ⋮ RobustM-estimators of multivariate location and scatter in the presence of asymmetry ⋮ Large covariance estimation through elliptical factor models ⋮ A characterization of elliptical distributions and some optimality properties of principal components for functional data ⋮ Elliptical regression operationalized ⋮ Tests of multinormality based on location vectors and scatter matrices ⋮ Convergence Behavior of the em algorithm for the multivariate t -distribution ⋮ Convergence behavior of an iterative reweighting algorithm to compute multivariate M-estimates for location and scatter ⋮ Conditional tests for elliptical symmetry using robust estimators ⋮ On normal theory based inference for multilevel models with distributional violations ⋮ Robust plug-in estimators in proportional scatter models. ⋮ Robust discrimination under a hierarchy on the scatter matrices ⋮ Testing multivariate scatter parameter in elliptical model based on forward search method ⋮ Symmetrised M-estimators of multivariate scatter ⋮ Linear grouping using orthogonal regression ⋮ Structural equation modeling with heavy tailed distributions ⋮ On the asymptotic distributions of two statistics for two-level covariance structure models within the class of elliptical distributions ⋮ Influence functions and efficiencies of the canonical correlation and vector estimates based on scatter and shape matrices ⋮ Invariant Co-Ordinate Selection ⋮ Inference on the shape of elliptical distributions based on the MCD ⋮ Asymptotic Distributions of Test Statistics for Matrices Concerning Elliptical Distributions ⋮ ASYMPTOTIC DISTRIBUTION OF THE LARGEST EIGENVALUE ⋮ Depth weighted scatter estimators ⋮ Estimation of a covariance matrix with location: Asymptotic formulas and optimal B-robust estimators ⋮ On the cumulants of affine equivariant estimators in elliptical families ⋮ Distribution under elliptical symmetry of a distance-based multivariate coefficient of variation ⋮ ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions ⋮ Tests and estimates of shape based on spatial signs and ranks ⋮ M-estimation with incomplete and dependent multivariate data ⋮ Robust tests for the common principal components model ⋮ Ultrastructural elliptical models ⋮ Asymptotic distributions of robust shape matrices and scales ⋮ Asymptotic and bootstrap tests for subspace dimension ⋮ On some pattern-reduction matrices which appear in statistics ⋮ An asymptotic test for redundancy of variables in the comparison of two covariance matrices

This page was built for publication: Radial estimates and the test for sphericity