New algorithms for \(M\)-estimation of multivariate scatter and location

DOI10.1016/j.jmva.2015.11.009zbMath1328.62334arXiv1312.6489OpenAlexW2177061468WikidataQ109772913 ScholiaQ109772913MaRDI QIDQ901290

Lutz Dümbgen, Heike Schuhmacher, Klaus Nordhausen

Publication date: 23 December 2015

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

Full work available at URL: https://arxiv.org/abs/1312.6489

zbMATH Keywords

Taylor expansionNewton-Raphson algorithmmatrix exponential functionfixed-point algorithm

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Related Items (10)

A robust deterministic affine-equivariant algorithm for multivariate location and scatter ⋮ Inference and mixture modeling with the elliptical Gamma distribution ⋮ Robust sparse covariance estimation by thresholding Tyler's M-estimator ⋮ Tyler's and Maronna's M-estimators: non-asymptotic concentration results ⋮ Gini covariance matrix and its affine equivariant version ⋮ On the Computation of Symmetrized M-Estimators of Scatter ⋮ Approximating symmetrized estimators of scatter via balanced incomplete \(U\)-statistics ⋮ Non-Gaussian Component Analysis: Testing the Dimension of the Signal Subspace ⋮ M-estimation with incomplete and dependent multivariate data ⋮ \(M\)-functionals of multivariate scatter

Uses Software

• R
• MASS (R)
• ICSNP
• ICS
• fastM

Cites Work

• Unnamed Item
• Invariant Co-Ordinate Selection
• Differentiability of \(t\)-functionals of location and scatter
• A distribution-free M-estimator of multivariate scatter
• Redescending \(M\)-estimates of multivariate location and scatter
• On Tyler's \(M\)-functional of scatter in high dimension
• \(M\)-functionals of multivariate scatter
• Symmetrised M-estimators of multivariate scatter
• Statistical Analysis of Financial Data in S-Plus
• Mixture Densities, Maximum Likelihood and the EM Algorithm
• A cautionary note on robust covariance plug-in methods
• Convergence Behavior of the em algorithm for the multivariate t -distribution
• A curious likelihood identity for the multivariate t-distribution
• Robust Statistics

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