Inference on the shape of elliptical distributions based on the MCD

DOI10.1016/J.JMVA.2014.04.013zbMATH Open1360.62280OpenAlexW2021828210MaRDI QIDQ2015060FDOQ2015060

Authors: Davy Paindaveine, Germain Van Bever 

Publication date: 18 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.04.013

Recommendations

• Asymptotics for the minimum covariance determinant estimator
• Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
• Central limit theorem and influence function for the MCD estimators at general multivariate distributions
• Asymptotic expansion of the minimum covariance determinant estimators
• Asymptotic distributions of robust shape matrices and scales

zbMATH Keywords

robustnesselliptical distributionsshape parametersMCD estimatorsBahadur representation resultstests of sphericity

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

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• Title not available (Why is that?)
• Semiparametrically efficient inference based on signed ranks in symmetric independent component models
• A distribution-free M-estimator of multivariate scatter
• Asymptotics for the minimum covariance determinant estimator
• On the uniqueness of \(S\)-functionals and \(M\)-functionals under nonelliptical distributions.
• Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
• Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity
• Semiparametrically efficient rank-based inference for shape. II: Optimal \(R\)-estimation of shape
• The multivariate least-trimmed squares estimator
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• Radial estimates and the test for sphericity
• Central limit theorem and influence function for the MCD estimators at general multivariate distributions
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• Asymptotic distributions of robust shape matrices and scales
• A practical affine equivariant multivariate median
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• A Simpler, Affine-Invariant, Multivariate, Distribution-Free Sign Test
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• Asymptotic expansion of the minimum covariance determinant estimators
• On the Breakdown Properties of Some Multivariate M-Functionals*
• Robustness and efficiency properties of scatter matrices
• Parametric and semiparametric inference for shape: the role of the scale functional
• Affine equivariant multivariate rank methods
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Cited In (10)

• Asymptotic distributions of robust shape matrices and scales
• Robust and efficient estimation of multivariate scatter and location
• Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
• Parametric and semiparametric inference for shape: the role of the scale functional
• Asymptotic expansion of the minimum covariance determinant estimators
• Halfspace depths for scatter, concentration and shape matrices
• Asymptotically independent U-statistics in high-dimensional testing
• Consistency factor for the MCD estimator at the Student-\(t\) distribution
• Central limit theorem and influence function for the MCD estimators at general multivariate distributions
• Preliminary Multiple-Test Estimation, With Applications to k-Sample Covariance Estimation

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