BREAKDOWN POINTS OF AFFINE EQUIVARIANT ESTIMATORS OF MULTIVARIATE LOCATION AND COVARIANCE MATRICES

• 成果类型: Article
• 署名作者: LOPUHAA, HP; ROUSSEEUW, PJ
• 署名单位: University of Antwerp
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176347978
• 发表日期: 1991
• 页码: 229-248
• 关键词: regression; BEHAVIOR

摘要

Finite-sample replacement breakdown points are derived for different types of estimators of multivariate location and covariance matrices. The role of various equivariance properties is illustrated. The breakdown point is related to a measure of performance based on large deviations probabilities. Finally, we show that one-step reweighting preserves the breakdown point.