Some facts about functionals of location and scatter

DOI10.1214/074921706000000860MaRDI QIDQ3592318zbMATH OpenOpenAlexFDO

Authors Richard M. Dudley

Publication date 12 September 2007

Published in High Dimensional Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0612709

zbMATH Keywords

\(t\) distributionsequivariance

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12)

Abstract: Assumptions on a likelihood function, including a local Glivenko-Cantelli condition, imply the existence of M-estimators converging to an M-functional. Scatter matrix-valued estimators, defined on all empirical measures on ${BbbR}^d$ for $dgeq2$, and equivariant under all, including singular, affine transformations, are shown to be constants times the sample covariance matrix. So, if weakly continuous, they must be identically 0. Results are stated on existence and differentiability of location and scatter functionals, defined on a weakly dense, weakly open set of laws, via elliptically symmetric t distributions on ${BbbR}^d$, following up on work of Kent, Tyler, and D"{u}mbgen.

Recommendations

• Differentiability of \(t\)-functionals of location and scatter
• Some results on the representation of measures of location and spread as L-functionals
• \(M\)-functionals of multivariate scatter
• scientific article; zbMATH DE number 496052
• scientific article; zbMATH DE number 29141
• A note on multivariate location and scatter statistics for sparse data sets
• On Tyler's M-functional of scatter in high dimension
• M-estimators of location for functional data

Cited in

(6)

• Differentiability of \(t\)-functionals of location and scatter
• Integral expressions of Lyapunov exponents for autonomous ordinary differential systems
• On Tyler's M-functional of scatter in high dimension
• \(M\)-functionals of multivariate scatter
• One-step M-estimates of scatter and the independence property
• Conditional distributions of processes related to fractional Brownian motion

This page was built for publication: Some facts about functionals of location and scatter

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3592318)