Highly Robust Estimation of Dispersion Matrices
نویسندگان
چکیده
منابع مشابه
Highly Robust Estimation of Dispersion Matrices
In this paper, we propose a new componentwise estimator of a dispersion matrix, based on a highly robust estimator of scale. The key idea is the elimination of a location estimator in the dispersion estimation procedure. The robustness properties are studied by means of the influence function and the breakdown point. Further characteristics such as asymptotic variance and efficiency are also an...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2001
ISSN: 0047-259X
DOI: 10.1006/jmva.2000.1942