Minimax bias-robust estimation of the dispersion matrix of a multivariate distribution

• 成果类型: Article
• 署名作者: Adrover, JG
• 署名单位: National University of Cordoba
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 1998
• 页码: 2301-2320
• 关键词: regression; scatter

摘要

Maronna defines affine equivariant M-estimators for multivariate location and scatter. They are particularly suited for estimating the pseudo-covariance or scatter matrix of an elliptical population. By defining the bias of a dispersion matrix properly, we consider the maximum bias of an M-estimator over an E-neighborhood of the underlying elliptical distribution (location known). We find that Tyler's estimator minimizes the maximum bias.