INVESTIGADORES
ADROVER Jorge Gabriel
artículos
Título:
Projection estimates of multivariate location.
Autor/es:
JORGE G. ADROVER AND VICTOR J. YOHAI
Revista:
ANNALS OF STATISTICS, THE
Editorial:
INST MATHEMATICAL STATISTICS
Referencias:
Año: 2002 vol. 30 p. 1760 - 1781
ISSN:
0090-5364
Resumen:
In this paper we study the maximum asymptotic bias of the projection estimate for multivariate location based on univariate estimates of location and dispersion. In particular we study the projection estimate that uses the median and median absolute deviation about the median (MAD) as univariate location and dispersion estimates respectively. This estimator may be considered a natural affine equivariant multivariate median. For spherical distributionst he maximumb ias of this estimated ependso nly on the marginal distributions, and not on the dimension, and is approximately twice the maximum bias of the univariate median. We also show that for multivariate normal distributions, its maximum bias compares favorably with those of the Donoho-Stahel, minimum volume ellipsoid and minimum covariance determinant estimates. In all these cases the maximum bias increases with the dimension p.