On the cumulants of affine equivariant estimators in elliptical families

DOI10.1016/0047-259X(90)90025-DzbMath0725.62050OpenAlexW2068954000MaRDI QIDQ2277712

David M. Rocke, Rudolf Grübel

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0047-259x(90)90025-d

zbMATH Keywords

expectationsmaximum likelihoodrobust estimationmultivariate regressionseemingly unrelated regressioncovariancesmean vectorscatter matrixaffine equivariant estimatorsmultivariate locationelliptically distributed errorsHigher order cumulantsorthogonal invariant tensors

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Foundations and philosophical topics in statistics (62A01) Vector and tensor algebra, theory of invariants (15A72)

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