A generalization of Tyler's M-estimators to the case of incomplete data
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Publication:962269
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Cites work
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- scientific article; zbMATH DE number 976830 (Why is no real title available?)
- scientific article; zbMATH DE number 2174552 (Why is no real title available?)
- scientific article; zbMATH DE number 1834445 (Why is no real title available?)
- A Distribution-Free Multivariate Sign Test Based on Interdirections
- A Simpler, Affine-Invariant, Multivariate, Distribution-Free Sign Test
- A Tutorial on the SWEEP Operator
- A canonical definition of shape
- A distribution-free M-estimator of multivariate scatter
- A practical affine equivariant multivariate median
- Asymptotic distributions of robust shape matrices and scales
- Likelihood based frequentist inference when data are missing at random
- Minimax bias-robust estimation of the dispersion matrix of a multivariate distribution
- Multi-tail generalized elliptical distributions for asset returns
- On Tyler's \(M\)-functional of scatter in high dimension
- On the Breakdown Properties of Some Multivariate M-Functionals*
- On the theory of elliptically contoured distributions
- Principal component analysis for data containing outliers and missing elements
- Redescending \(M\)-estimates of multivariate location and scatter
- Robust Estimation of the Mean and Covariance Matrix from Data with Missing Values
- Robust Statistics
- Robustness and efficiency properties of scatter matrices
- Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity
- Semiparametrically efficient rank-based inference for shape. II: Optimal \(R\)-estimation of shape
- Statistical analysis for the angular central Gaussian distribution on the sphere
- The maximum bias of robust covariances
Cited in
(12)- Robust Estimation of Multivariate Location and Scatter in the Presence of Missing Data
- Fast algorithms for computing high breakdown covariance matrices with missing data
- M-estimation with incomplete and dependent multivariate data
- Robust sparse covariance estimation by thresholding Tyler's M-estimator
- A review of Tyler's shape matrix and its extensions
- Power M-estimators for location and scatter
- An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations
- Special issue on variable selection and robust procedures
- Robust tests for scatter separability beyond Gaussianity
- Robust Estimation of the Mean and Covariance Matrix from Data with Missing Values
- Semicircle law of Tyler's \(M\)-estimator for scatter
- Expectation-robust algorithm and estimating equations for means and dispersion matrix with missing data
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