Highly robust estimation of dispersion matrices
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Recommendations
- Robustness properties of dispersion estimators
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- Propriétés asymptotiques et fonction d'influence d'un estimateur simple et robuste de matrice de dispersion
- Projection-Pursuit Approach to Robust Dispersion Matrices and Principal Components: Primary Theory and Monte Carlo
Cites work
- Alternatives to the Median Absolute Deviation
- Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
- Asymptotics of generalized S-estimators
- Bias-robust estimators of multivariate scatter based on projections
- Breakdown points of affine equivariant estimators of multivariate location and covariance matrices
- Finite sample breakdown of M- and P-estimators
- Finite sample breakdown points of projection based multivariate location and scatter statistics
- Generalized S-Estimators
- High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient Scale
- Highly robust estimation of the autocovariance function
- Highly robust variogram estimation
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- scientific article; zbMATH DE number 194744 (Why is no real title available?)
- Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
- Least Median of Squares Regression
- On the relation between S-estimators and M-estimators of multivariate location and covariance
- Projection-Pursuit Approach to Robust Dispersion Matrices and Principal Components: Primary Theory and Monte Carlo
- Robust estimation and outlier detection with correlation coefficients
- Robust Estimation of Dispersion Matrices and Principal Components
- Robust estimation: A condensed partial survey
- Robust m-estimators of multivariate location and scatter
- Robust Statistics
- Robustness properties of dispersion estimators
- The Behavior of the Stahel-Donoho Robust Multivariate Estimator
- The Influence Curve and Its Role in Robust Estimation
- Transformation of non positive semidefinite correlation matrices
Cited in
(18)- Robust \(M\)-estimation of a dispersion matrix with a structure
- A very simple robust estimator of a dispersion matrix
- Robust estimation of precision matrices under cellwise contamination
- Robustness properties of dispersion estimators
- Robust factor modelling for high-dimensional time series: an application to air pollution data
- Spatial sign correlation
- Rank regularized estimation of approximate factor models
- Comparative study of robust estimators based on a sensitivity coefficient in principal component analysis
- Robustness and efficiency properties of scatter matrices
- The maximum bias of robust covariances
- Asymptotically minimax bias estimation of the correlation coefficient for bivariate independent component distributions
- Propriétés asymptotiques et fonction d'influence d'un estimateur simple et robuste de matrice de dispersion
- Sn covariance
- scientific article; zbMATH DE number 5685003 (Why is no real title available?)
- Robust estimation of (partial) autocorrelation
- A componentwise estimation procedure for multivariate location and scatter: robustness, efficiency and scalability
- Pointwise data depth for univariate and multivariate functional outlier detection
- Robust online signal extraction from multivariate time series
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