Highly robust estimation of dispersion matrices

DOI10.1006/jmva.2000.1942zbMath1013.62065OpenAlexW1963936186MaRDI QIDQ5943592

Yanyuan Ma, Marc G. Genton

Publication date: 3 July 2003

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

Full work available at URL: https://semanticscholar.org/paper/3c6b35ee35870a8767ea3be6da1bad8bbaaf5480

zbMATH Keywords

tablesrobustnessinfluence functionbreakdown pointcomponentwise estimatorsscale estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric robustness (62G35) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

Robust estimation of precision matrices under cellwise contamination, S_n covariance, Asymptotically minimax bias estimation of the correlation coefficient for bivariate independent component distributions, Robust online signal extraction from multivariate time series, Spatial sign correlation, Robust factor modelling for high-dimensional time series: an application to air pollution data, Rank regularized estimation of approximate factor models, Comparative Study of Robust Estimators Based on a Sensitivity Coefficient in Principal Component Analysis

Uses Software

• tsqn

Cites Work

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