M-estimation with incomplete and dependent multivariate data

DOI10.1016/J.JMVA.2019.104569MaRDI QIDQ128879zbMATHOpenAlexWikidataFDO

Authors Gabriel Frahm, Klaus Nordhausen, Hannu Oja, Gabriel Frahm, Hannu Oja

Publication date March 2020

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

Full work available at URL https://doi.org/10.1016/j.jmva.2019.104569

zbMATH Keywords

M-estimationmissing datashapeincomplete datadependent datatime-series datalocationmissing completely at randomscatterspatial data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Missing data (62D10)

Recommendations

• A generalization of Tyler's M-estimators to the case of incomplete data
• Robust Estimation of the Mean and Covariance Matrix from Data with Missing Values
• Robust Estimation of Multivariate Location and Scatter in the Presence of Missing Data
• scientific article; zbMATH DE number 1304673
• Normal distribution based pseudo ML for missing data: with applications to mean and covariance structure analysis

Cites work

• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 51121 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 1294360 (Why is no real title available?)
• scientific article; zbMATH DE number 1834445 (Why is no real title available?)
• A Nonparametric Test for Random Dropouts
• A canonical definition of shape
• A distribution-free M-estimator of multivariate scatter
• A generalization of Tyler's M-estimators to the case of incomplete data
• A practical affine equivariant multivariate median
• Asymptotic Properties of M‐estimators Based on Estimating Equations and Censored Data
• Asymptotic Statistics
• Asymptotic distributions of robust shape matrices and scales
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Basic properties of strong mixing conditions. A survey and some open questions
• Behavior of robust estimators in the regression model with dependent errors
• Combining inverse probability weighting and multiple imputation to improve robustness of estimation
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Editing and Imputation for Quantitative Survey Data
• Fast algorithms for computing high breakdown covariance matrices with missing data
• Imputation of missing values for compositional data using classical and robust methods
• Inverse probability weighted estimation for general missing data problems
• Large Sample Properties of Generalized Method of Moments Estimators
• Miscellanea. Statistical analysis of incomplete long-range dependent data
• Multiply robust estimation in regression analysis with missing data
• New algorithms for \(M\)-estimation of multivariate scatter and location
• On the theory of elliptically contoured distributions
• Principal component analysis for data containing outliers and missing elements
• Radial estimates and the test for sphericity
• Redescending \(M\)-estimates of multivariate location and scatter
• Robust Estimation of Multivariate Location and Scatter in the Presence of Missing Data
• Robust Estimation of the Mean and Covariance Matrix from Data with Missing Values
• Robust Statistics
• Robust data imputation
• Robust estimation in dependent situations
• Robust location estimation with missing data
• Robust m-estimators of multivariate location and scatter
• Robust nonparametric estimation with missing data
• Semicircle law of Tyler's \(M\)-estimator for scatter
• Statistical analysis for the angular central Gaussian distribution on the sphere
• Tests of homoscedasticity, normality, and missing completely at random for incomplete multivariate data
• The behavior of robust estimators on dependent data
• The impact of bootstrap methods on time series analysis
• \(M\)-estimation of linear models with dependent errors
• \(M\)-functionals of multivariate scatter

Cited in

(6)

• Multivariate random effect models with complete and incomplete data
• A review of Tyler's shape matrix and its extensions
• Power M-estimators for location and scatter
• A generalization of Tyler's M-estimators to the case of incomplete data
• shapeNA
• Effect of violation of the normal assumption on MI and ML estimators in the analysis of incomplete data

Describes a project that uses

Uses Software

• MissMech

This page was built for publication: M-estimation with incomplete and dependent multivariate data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q128879)