Ann. Statist.19(4):2102-2119(December, 1991).DOI: 10.1214/aos/1176348388
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Abstract
A class of redescending $M$-estimates of multivariate location and scatter are investigated. Sufficient conditions are given to ensure the existence and uniqueness of the estimates. These results are applied to the multivariate $t$-distribution with degrees of freedom $\nu \geq 1.$
Citation
John T. Kent.David E. Tyler."Redescending $M$-Estimates of Multivariate Location and Scatter."Ann. Statist.19(4)2102 - 2119,December, 1991.https://doi.org/10.1214/aos/1176348388
Information
Published: December, 1991
First available in Project Euclid: 12 April 2007
zbMATH:0763.62030
MathSciNet:MR1135166
Digital Object Identifier: 10.1214/aos/1176348388
Subjects:
Primary: 62H12
Secondary: 62H10
Keywords: multivariate $t$-distribution, Redescending $M$-estimate, robustness
Rights: Copyright © 1991 Institute of Mathematical Statistics
John T. Kent, David E. Tyler "Redescending $M$-Estimates of Multivariate Location and Scatter," The Annals of Statistics, Ann. Statist. 19(4), 2102-2119, (December, 1991)Include: Format: