A distribution-free M-estimator of multivariate scatter

DOI10.1214/aos/1176350263zbMath0628.62053OpenAlexW2008418230MaRDI QIDQ1093284

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1214/aos/1176350263

zbMATH Keywords

distribution-free covariance matrix finite samples strongly consistent asymptotically normal continuous populations affine invariant M-estimator of scatter continuous elliptically distributed populations Huber-type M-estimator minimizing maximum asymptotic variance multivariate scatter

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Robustness and adaptive procedures (parametric inference) (62F35)

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