INVESTIGADORES
ADROVER Jorge Gabriel
artículos
Título:
Minimax Bias-Robust Estimation of the Dispersion Matrix of a Multivariate Distribution
Autor/es:
JORGE G. ADROVER
Revista:
ANNALS OF STATISTICS, THE
Editorial:
INST MATHEMATICAL STATISTICS
Referencias:
Año: 1998 vol. 26 p. 2301 - 2320
ISSN:
0090-5364
Resumen:
Maronna (1976) defines affine equivariant M-estimators for multivariate lo-cation and scatter. They are particularly suited for estimating the pseudo-covariance or scatter matrix of an elliptical population. By defining the bias of a dispersion matrix properly, we consider the maximum bias of an M-estimator over an ?-neighborhood of the underlying elliptical distribution (location known). We find that Tyler's estimator minimizes the maximum bias.
