The maximum bias of robust covariances

DOI10.1080/03610929008830422MaRDI QIDQ3978082zbMATH OpenOpenAlexFDO

Authors Victor J. Yohai, Ricardo Antonio Maronna

Publication date 25 June 1992

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929008830422

zbMATH Keywords

spherical distributionquantilemaximum asymptotic biasminimum volume ellipsoid estimatorM- estimatorscontamination modelhigh breakdown point estimatorsrobust covariancerobust estimates of the dispersion matrixTyler estimate

Mathematics Subject Classification ID

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

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Cites work

• A distribution-free M-estimator of multivariate scatter
• Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
• Robust Statistics
• Robust m-estimators of multivariate location and scatter

Cited in

(17)

• On the performance of bivariate robust location estimators under contamination
• Bias behavior of the minimum volume ellipsoid estimate
• A generalization of Tyler's M-estimators to the case of incomplete data
• Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
• Shape bias of robust covariance estimators: an empirical study
• Maxbias Curves of Robust Location Estimators based on Subranges
• Optimal locally robust M-estimates of regression
• Bounds for the bias of estimators under contamination
• Robustness properties of dispersion estimators
• A review of Tyler's shape matrix and its extensions
• Highly robust estimation of dispersion matrices
• Minimax bias-robust estimation of the dispersion matrix of a multivariate distribution
• Estimating the model of the majority of the data
• The FastHCS algorithm for robust PCA
• A very simple robust estimator of a dispersion matrix
• Finding multivariate outliers with FastPCS
• Bias-robust estimators of multivariate scatter based on projections

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