A practical affine equivariant multivariate median

• 成果类型: Article
• 署名作者: Hettmansperger, TP; Randles, RH
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; State University System of Florida; University of Florida
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/89.4.851
• 发表日期: 2002
• 页码: 851860
• 关键词: location; estimators

摘要

A robust affine equivariant estimator of location for multivariate data is proposed which becomes the univariate median for data of dimension one. The estimator is robust in the sense that it has a bounded influence function, a positive breakdown value and has high efficiency compared to the sample mean for heavy-tailed distributions. Perhaps its greatest strength is that, unlike other affine equivariant multivariate medians, it is easily computed for data in any practical dimension.