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

DOI10.1016/0047-259X(87)90092-3zbMATH Open0624.62048MaRDI QIDQ578802FDOQ578802

Werner A. Stahel

Publication date: 1987

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

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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)

Cites Work

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• Robust estimation: A condensed partial survey
• A class of asymptotic tests for principal component vectors

Cited In (2)

• Robust estimation of general linear mixed effects models
• A minimal characterization of the covariance matrix

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