Some extension of Haldane's multivariate median and its application

DOI10.1007/BF02481098MaRDI QIDQ1069237zbMATH OpenFDO

Authors Takafumi Isogai

Publication date 1985

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02481098

zbMATH Keywords

asymptotic normalityasymptotic null distributionsconsistencyconvergence in probabilitymeasures of multivariate skewnessminimizationmultivariate mediannumerical illustrationtest for multivariate normality

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15)

Review text

For X p-dimensional with expectation \(\mu\) and covariance matrix \(\Sigma\), \textit{J. B. S. Haldane}'s [Biometrika 35, 414-415 (1948; Zbl 0032.03601)] definition of a multivariate median as a minimizer \(\theta_ 0\) of \(E\| X-\theta \|\), where \(\| X-\theta\| = \{(X-\theta)'\Sigma^{-1}(X-\theta)\}^{1/2},\) is considered. It is generalized by studying the minimization of \(\Lambda(\theta)=E\Psi(X,\theta)\), where \(\Psi (X,\theta)=\Psi (\| X-\theta \|)\) and \(\psi\) is a real function on \([0,\infty)\) satisfying certain conditions. A (generalized) sample median is a minimizer \(\theta_ n\) of \({\bar \Psi}_ n(\theta)=n^{-1}\sum^{n}_{i=1}\Psi_ n(X_ i,\theta),\) where \(\Psi_ n\) is defined by replacing \(\Psi\) in \(\Sigma\) by a consistent estimator \(\Sigma_ n.\) Assuming that the domain of \(\theta\) is a compact subset of \({\mathbb{R}}^ p\) and that \(\bigwedge (\theta)\) has a unique minimizer \(\theta_ 0\), convergence in probability of \(\theta_ n\) to \(\theta_ 0\) is proved. Under further assumptions asymptotic normality of \((\theta'_ n,\bar X'_ n, \text{vec}(\Sigma_ n)')'\) is proved. Making use of the median, three types of measures of multivariate skewness are introduced and their asymptotic null distributions are obtained. The measures are generalizations of proposals by Pearson, Geary and Rayleigh. A numerical illustration is provided.

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Cites work

• scientific article; zbMATH DE number 3336465 (Why is no real title available?)
• Note on the median of a multivariate distribution
• Robust m-estimators of multivariate location and scatter

Cited in

(15)

• Multivariate location estimation using extension of \(R\)-estimates through \(U\)-statistics type approach
• On the dispersion of multivariate median
• Skewness for multivariate distributions: Two approaches
• The asymptotic covariance matrix of the Oja median.
• Affine equivariant multivariate rank methods
• Nonparametric multivariate descriptive measures based on spatial quantiles
• The quarter median
• Equivariance and invariance properties of multivariate quantile and related functions, and the role of standardisation
• Effect of kurtosis on efficiency of some multivariate medians
• Measures of centrality for multivariate and directional distributions
• A New Graphical Test for Multivariate Normality
• On the statistical efficiency of robust estimators of multivariate location
• Large sample and robust properties of \(\widetilde {L} ^{2}\)-median
• scientific article; zbMATH DE number 3356084 (Why is no real title available?)
• Multivariate medial correlation with applications

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