On the Computation and Finite Sample Behavior of the Constrained M-Estimates for Multivariate Location and Scatter

DOI10.1081/SAC-200033372MaRDI QIDQ3155646zbMATH OpenOpenAlexFDO

Authors Olcay Arslan

Publication date 17 January 2005

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sac-200033372

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

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Cites work

• Algorithms to compute \(CM\)- and \(S\)-estimates for regression
• Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
• Computable Robust Estimation of Multivariate Location and Shape in High Dimension Using Compound Estimators
• Constrained \(M\)-estimation for multivariate location and scatter
• Fast Very Robust Methods for the Detection of Multiple Outliers
• Identification of Outliers in Multivariate Data
• Least Median of Squares Regression
• On the relation between S-estimators and M-estimators of multivariate location and covariance
• Redescending \(M\)-estimates of multivariate location and scatter
• Robustness properties of \(S\)-estimators of multivariate location and shape in high dimension
• The Behavior of the Stahel-Donoho Robust Multivariate Estimator

Cited in

(4)

• Computing the constrained M-estimates for regression
• Some Results on the Existence, Uniqueness, and Computation of the M-Estimates of Multivariate Location and Scatter
• Finite sample tail behavior of multivariate location estimators
• Algorithms to compute \(CM\)- and \(S\)-estimates for regression

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