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Asymptotic Behaviour of $S$-Estimates of Multivariate Location Parameters and Dispersion Matrices
Open accessAbstract
It is shown under appropriate conditions that Rousseeuw's minimum volume estimator and other $S$-estimators of multivariate location and dispersion parameters are consistent. Under certain differentiability conditions the estimates are asymptotically normally distributed with a norming factor of $n^{1/2}$.
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Citations
Cited by
ROBPCA: A New Approach to Robust Principal Component Analysis
Hubert, M., Rousseeuw, P. J., & Vanden Branden, K. (2005) · Technometrics · doi:10.1198/004017004000000563 · Cited by 1,052
Breakdown Points of Affine Equivariant Estimators of Multivariate Location and Covariance Matrices
Lopuhaa, H. P., & Rousseeuw, P. J. (1991) · The Annals of Statistics · doi:10.1214/aos/1176347978 · Cited by 446
Robust estimation of Cronbach's alpha
Christmann, A., & Van Aelst, S. (2006) · Journal of Multivariate Analysis · doi:10.1016/j.jmva.2005.05.012 · Cited by 427
Robust Estimates of Location and Dispersion for High-Dimensional Datasets
Maronna, R. A., & Zamar, R. H. (2002) · Technometrics · doi:10.1198/004017002188618509 · Cited by 406
LIBRA: a MATLAB library for robust analysis
Verboven, S., & Hubert, M. (2005) · Chemometrics and Intelligent Laboratory Systems · doi:10.1016/j.chemolab.2004.06.003 · Cited by 390
Metadata
- Authors
- Davies, P. L.
- Venue
- The Annals of Statistics
- Publisher
- Institute of Mathematical Statistics
- Published
- 1987-09-01
- Volume
- 15
- Issue
- 3
- ISSN
- 0090-5364 (ISSN-L)
- OpenAlex
- W2010951077
- Cited by
- 432
- References
- 0
- FWCI
- 2.37
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Davies, P. L. (1987). Asymptotic Behaviour of $S$-Estimates of Multivariate Location Parameters and Dispersion Matrices. The Annals of Statistics. https://doi.org/10.1214/aos/1176350505
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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