On the uniqueness of S-functionals and M-functionals under nonelliptical distributions.

DOI10.1214/AOS/1015956714MaRDI QIDQ1848822zbMATHOpenAlexFDO

Authors Kay S. Tatsuoka, David E. Tyler

Publication date 14 November 2002

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

Full work available at URL https://doi.org/10.1214/aos/1015956714

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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• \(M\)-functionals of multivariate scatter
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• Central limit theorem and influence function for the MCD estimators at general multivariate distributions

Cites work

• scientific article; zbMATH DE number 3905646 (Why is no real title available?)
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• scientific article; zbMATH DE number 4022030 (Why is no real title available?)
• scientific article; zbMATH DE number 194744 (Why is no real title available?)
• scientific article; zbMATH DE number 850161 (Why is no real title available?)
• Aspects of robust linear regression
• Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
• Constrained \(M\)-estimation for multivariate location and scatter
• High breakdown-point and high efficiency robust estimates for regression
• Highly efficient estimators of multivariate location with high breakdown point
• Inequalities: theory of majorization and its applications
• Min-max bias robust regression
• On the relation between S-estimators and M-estimators of multivariate location and covariance
• Robustness and efficiency properties of scatter matrices
• The Integral of a Symmetric Unimodal Function over a Symmetric Convex Set and Some Probability Inequalities
• The asymptotics of Rousseeuw's minimum volume ellipsoid estimator
• The excess-mass ellipsiod

Cited in

(50)

• Robust Estimation of Multivariate Location and Scatter in the Presence of Missing Data
• Common multivariate estimators of location and scatter capture the symmetry of the underlying distribution
• Comments on: ``Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination
• Robust Inference and Modeling of Mean and Dispersion for Generalized Linear Models
• Differentiability of \(t\)-functionals of location and scatter
• Robust inference for seemingly unrelated regression models
• Robust and efficient estimation of multivariate scatter and location
• A plug-in approach to sparse and robust principal component analysis
• On the optimality of multivariate S-estimators
• High-breakdown robust multivariate methods
• The minimum covariance determinant estimator for interval-valued data
• Robust concentration graph model selection
• A note on multivariate location and scatter statistics for sparse data sets
• A review of Tyler's shape matrix and its extensions
• An analysis of David E. Tyler's publication and coauthor network
• Robust DetS and DetMM estimators for discriminant analysis
• Discussion of: ``The power of monitoring: how to make the most of a contaminated multivariate sample
• A robust proposal of estimation for the sufficient dimension reduction problem
• Optimal tests for homogeneity of covariance, scale, and shape
• Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination
• The DetS and DetMM estimators for multivariate location and scatter
• Optimal rank-based tests for homogeneity of scatter
• Evaluation of robust outlier detection methods for zero-inflated complex data
• On the Breakdown Properties of Some Multivariate M-Functionals*
• Inference for robust canonical variate analysis
• Invariant co-ordinate selection (with discussion)
• Robust tools for the imperfect world
• Weighted scatter estimation method of the GO-GARCH models
• Robust approaches to redundancy analysis
• Robust location estimation under dependence
• Symmetrised M-estimators of multivariate scatter
• The minimum weighted covariance determinant estimator
• Multivariate generalized S-estimators
• Robust weighted orthogonal regression in the errors-in-variables model
• The minimum weighted covariance determinant estimator revisited
• Asymptotic distributions of robust shape matrices and scales
• Fast and robust bootstrap
• Robust Alternatives to the F‐Test in Mixed Linear Models Based on MM‐Estimates
• Rejoinder on: ``Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination
• Central limit theorem and influence function for the MCD estimators at general multivariate distributions
• Estimates of MM type for the multivariate linear model
• A canonical definition of shape
• Inference on the shape of elliptical distributions based on the MCD
• Robust estimation and inference for bivariate line-fitting in allometry
• Regularity and uniqueness for constrained \(M\)-estimates and redescending \(M\)-estimates
• Propagation of outliers in multivariate data
• S-estimation in linear models with structured covariance matrices
• scientific article; zbMATH DE number 6319907 (Why is no real title available?)
• Consistency of completely outlier-adjusted simultaneous redescending M-estimators of location and scale
• On generalized elliptical quantiles in the nonlinear quantile regression setup

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