REDESCENDING M-ESTIMATES OF MULTIVARIATE LOCATION AND SCATTER

被引：113

作者：

KENT, JT ^{[1
]}

TYLER, DE ^{[1
]}

机构：

[1] RUTGERS STATE UNIV,DEPT STAT,NEW BRUNSWICK,NJ 08903

来源：

ANNALS OF STATISTICS | 1991年 / 19卷 / 04期

关键词：

REDESCENDING M-ESTIMATE; ROBUSTNESS; MULTIVARIATE T-DISTRIBUTION;

D O I：

10.1214/aos/1176348388

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：

A class of redescending M-estimates of multivariate location and scatter are investigated. Sufficient conditions are given to ensure the existence and uniqueness of the estimates. These results are applied to the multivariate t-distribution with degrees of freedom v greater-than-or-equal-to 1.

引用

页码：2102 / 2119

页数：18

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