A generalization of Tyler's M-estimators to the case of incomplete data
DOI10.1016/J.CSDA.2009.08.019zbMATH Open1464.62069OpenAlexW1965518343MaRDI QIDQ962269FDOQ962269
Authors: Gabriel Frahm, Uwe Jaekel 
Publication date: 6 April 2010
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/44947
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Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)
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Cited In (13)
- Expectation-robust algorithm and estimating equations for means and dispersion matrix with missing data
- On high-dimensional sign tests
- Fast algorithms for computing high breakdown covariance matrices with missing data
- A review of Tyler's shape matrix and its extensions
- Power M-estimators for location and scatter
- Special issue on variable selection and robust procedures
- Robust Estimation of the Mean and Covariance Matrix from Data with Missing Values
- An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations
- Robust sparse covariance estimation by thresholding Tyler's M-estimator
- Robust Estimation of Multivariate Location and Scatter in the Presence of Missing Data
- Robust tests for scatter separability beyond Gaussianity
- M-estimation with incomplete and dependent multivariate data
- Semicircle law of Tyler's \(M\)-estimator for scatter
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