Robustness properties of dispersion estimators

DOI10.1016/S0167-7152(99)00025-5zbMath0940.62028MaRDI QIDQ1962130

Marc G. Genton, Yanyuan Ma

Publication date: 17 July 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

correlationinfluence functionasymptotic variancecovariance\(M\)-estimators\(B\)-robustmost \(B\)-robust

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (4)

Functional principal component analysis for partially observed elliptical process ⋮ Spatial sign correlation ⋮ Highly robust estimation of dispersion matrices ⋮ Influence functions of the Spearman and Kendall correlation measures

Cites Work

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• Highly Robust Estimation of the Autocovariance Function
• Asymptotic variance of \(M\)-estimators for dependent Gaussian random variables
• Consistency property of elliptical probability density functions
• The change-of-variance function of \(M\)-estimators of scale under general contamination
• The Influence Curve and Its Role in Robust Estimation
• Robust estimation and outlier detection with correlation coefficients
• Robust Statistics

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