On robust estimators of a sphericity measure in high dimension

DOI10.1007/978-3-031-22687-8_9MaRDI QIDQ6606403zbMATH OpenFDO

Authors Esa Ollila, Hyon-Jung Kim

Publication date 16 September 2024

Full work available at URL https://doi.org/10.1007/978-3-031-22687-8_9

zbMATH Keywords

elliptical distributionshigh-dimensional statisticsM-estimators of scatter matrixrobust statisticssign covariance matrixsphericity parameter

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35) Multivariate analysis (62Hxx) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites work

• A canonical definition of shape
• A distribution-free M-estimator of multivariate scatter
• A note on multivariate location and scatter statistics for sparse data sets
• Greatest lower bound to the elliptical theory kurtosis parameter
• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 3802668 (Why is no real title available?)
• scientific article; zbMATH DE number 3347500 (Why is no real title available?)
• Linear pooling of sample covariance matrices
• Multivariate sign-based high-dimensional tests for sphericity
• On the Breakdown Properties of Some Multivariate M-Functionals*
• Optimal Shrinkage Covariance Matrix Estimation Under Random Sampling From Elliptical Distributions
• PCA consistency in high dimension, low sample size context
• Radial estimates and the test for sphericity
• Redescending M-estimates of multivariate location and scatter
• Regularized tapered sample covariance matrix
• Robust m-estimators of multivariate location and scatter
• Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity
• Shrinkage Algorithms for MMSE Covariance Estimation
• Shrinking the eigenvalues of M-estimators of covariance matrix
• Sign and rank covariance matrices
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Testing for subsphericity when \(n\) and \(p\) are of different asymptotic order
• Tests and estimates of shape based on spatial signs and ranks
• Tests for high-dimensional covariance matrices
• The \(k\)-step spatial sign covariance matrix
• The asymptotic inadmissibility of the spatial sign covariance matrix for elliptically symmetric distributions
• The distribution of a statistic used for testing sphericity of normal distributions

This page was built for publication: On robust estimators of a sphericity measure in high dimension

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6606403)