THE ASYMPTOTICS OF ROUSSEEUW MINIMUM VOLUME ELLIPSOID ESTIMATOR

• 成果类型: Article
• 署名作者: DAVIES, L
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176348891
• 发表日期: 1992
• 页码: 1828-1843
• 关键词: multivariate location; squares regression; matrices; points

摘要

Rousseeuw's minimum volume estimator for multivariate location and dispersion parameters has the highest possible breakdown point for an affine equivariant estimator. In this paper we establish that it satisfies a local Holder condition of order 1/2 and converges weakly at the rate of n-1/3 to a non-Gaussian distribution.