Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices

P.L. Davies

doi:10.1214/aos/1176350505

Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices

P.L. Davies

Research output: Contribution to journal › Article › Academic › peer-review

144 Downloads (Pure)

Abstract

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 $n^{1/2}$.

Original language	English
Pages (from-to)	1269-1292
Number of pages	24
Journal	The Annals of Statistics
Volume	15
Issue number	3
DOIs	https://doi.org/10.1214/aos/1176350505
Publication status	Published - 1987

Access to Document

10.1214/aos/1176350505

Metis214121Final published version, 1.69 MB

Cite this

@article{6a6e3dd568ff467a9ccb5d9a18bbeea1,

title = "Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices",

abstract = "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 $n^{1/2}$.",

author = "P.L. Davies",

year = "1987",

doi = "10.1214/aos/1176350505",

language = "English",

volume = "15",

pages = "1269--1292",

journal = "The Annals of Statistics",

issn = "0090-5364",

publisher = "Institute of Mathematical Statistics",

number = "3",

}

TY - JOUR

T1 - Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices

AU - Davies, P.L.

PY - 1987

Y1 - 1987

N2 - 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 $n^{1/2}$.

AB - 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 $n^{1/2}$.

U2 - 10.1214/aos/1176350505

DO - 10.1214/aos/1176350505

M3 - Article

SN - 0090-5364

VL - 15

SP - 1269

EP - 1292

JO - The Annals of Statistics

JF - The Annals of Statistics

IS - 3

ER -

Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices

Abstract

Access to Document

Fingerprint

Cite this