Highly efficient estimators of multivariate location with high breakdown point

DOI10.1214/AOS/1176348529MaRDI QIDQ1192979zbMATH OpenOpenAlexFDO

Authors Hendrik P. Lopuhaä

Publication date 27 September 1992

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

Full work available at URL https://doi.org/10.1214/aos/1176348529

zbMATH Keywords

asymptotic normalityconsistencyscalingbounded influence functionhigh breakdown pointaffine equivariant estimator of multivariate locationhigh asymptotic efficiencyhigh breakdown covariance estimatorlocation \(M\)-estimator

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

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• Modelling and Prediction of Financial Time Series
• On the breakdown point of multivariate location estimators based on trimming procedures
• An efficient Fréchet differentiable high breakdown multivariate location and dispersion estimator
• Robust estimation of multivariate location and shape
• Preliminary Multiple-Test Estimation, With Applications to k-Sample Covariance Estimation
• Multivariate generalized S-estimators
• A robust estimator of multivariate location based on projection
• Affine-equivariant inference for multivariate location under \({L_p}\) loss functions
• Robust Alternatives to the F‐Test in Mixed Linear Models Based on MM‐Estimates
• Estimates of MM type for the multivariate linear model
• On the statistical efficiency of robust estimators of multivariate location
• Some quantitative relationships between two types of finite sample breakdown point
• Affine-equivariant spatial median and its use in the multivariate multi-sample location problem

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