An efficient Fréchet differentiable high breakdown multivariate location and dispersion estimator

DOI10.1016/0047-259X(92)90028-EzbMath0748.62030MaRDI QIDQ1185838

Laurie Davies

Publication date: 28 June 1992

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

zbMATH Keywords

Fréchet differentiabilitybreakdown pointlocation parametersdispersion parametersminimum volume ellipsoid estimator\(k\)-step \(M\)-estimatorsaffine invariant metricssmooth \(S\)- estimatorstwo-step \(M\)-estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

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The bias of \(k\)-step M-estimators, Reweighting approximate GM estimators: Asymptotics and residual-based graphics, High-breakdown robust multivariate methods, Note on qualitative robustness of multivariate sample mean and median, Influence function and efficiency of the minimum covariance determinant scatter matrix estimator, Trimming and likelihood: Robust location and dispersion estimation in the elliptical model, Functional stability of one-step GM-estimators in approximately linear regression, Unnamed Item, On the asymptotic behavior of one-step estimates in heteroscedastic regression models.

Cites Work

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