The influence function of the Stahel-Donoho estimator of multivariate location and scatter

被引：13

作者：

Gervini, D ^{[1
]}

机构：

[1] Univ Zurich, Dept Biostat, CH-8006 Zurich, Switzerland

来源：

STATISTICS & PROBABILITY LETTERS | 2002年 / 60卷 / 04期

关键词：

asymptotic relative efficiency; gross-error sensitivity; local robustness; reweighted estimators;

D O I：

10.1016/S0167-7152(02)00315-2

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This article derives the influence function of the Stahel-Donoho estimator of multivariate location and scatter for elliptical distributions. Local robustness and asymptotic relative efficiency are studied. The expressions obtained for the influence functions coincide with those of one-step reweighted estimators. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：425 / 435

页数：11

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