Estimation of a covariance matrix with location: Asymptotic formulas and optimal B-robust estimators

DOI10.1016/0047-259X(87)90092-3MaRDI QIDQ578802zbMATH OpenFDO

Authors Werner A. Stahel

Publication date 1987

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

zbMATH Keywords

elliptical distributionsequivariant estimatorsasymptotic variance-covariance matricescovariance-location modelderivation of influence functionsnon-singular affine transformationsoptimal B-robust estimatorsspherically symmetrically distributed variate

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12)

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• Robust m-estimators of multivariate location and scatter
• Robustness and efficiency properties of scatter matrices
• Sparse components of images and optimal atomic decompositions
• The Influence Curve and Its Role in Robust Estimation
• The effect of huberizing and trimming on the Quadratic-discriminant function

Cited in

(3)

• Robust estimation of general linear mixed effects models
• Intrinsic covariance matrix estimation for multivariate elliptical distributions
• A minimal characterization of the covariance matrix

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