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

P.L. Davies

    Research output: Contribution to journalArticleAcademicpeer-review

    95 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 languageEnglish
    Pages (from-to)1269-1292
    Number of pages24
    JournalThe Annals of Statistics
    Volume15
    Issue number3
    DOIs
    Publication statusPublished - 1987

    Fingerprint Dive into the research topics of 'Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices'. Together they form a unique fingerprint.

  • Cite this