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- W2042944852 abstract "Robust estimation of location vectors and scatter matrices is studied under the assumption that the unknown error distribution is spherically symmetric in a central region and completely unknown in the tail region. A precise formulation of the model is given, an analysis of the identifiable parameters in the model is presented, and consistent initial estimators of the identifiable parameters are constructed. Consistent and asymptotically normal M-estimators are constructed (solved iteratively beginning with the initial estimates) based on “influence functions” which vanish outside specified compact sets. Finally M-estimators which are asymptotically minimax (in the sense of Huber) are derived.Cet article concerne l'estimation robuste de parametres de position et de matrices de dispersion dans les situations ou la loi des erreurs est totalement inconnue sauf pour la presence d'une symetrie spherique a l'interieur d'une region centrale. On formule le modele de faon precise et on en analyse les parametres identifiables pour lesquels on construit des estimateurs initiaux convergents. A partir de ces estimations initiales, un processus iteratif nous permet de deduire des M-estimateurs convergents et asymptotiquement normaux. Ceux-ci sont fondes sur des “fonctions d'influence” qui s'annulent en dehors de certains ensembles compacts. Enfin, on obtient des M-estimateurs qui sont asymptotiquement minimax au sens de Huber." @default.
- W2042944852 created "2016-06-24" @default.
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- W2042944852 date "1986-06-01" @default.
- W2042944852 modified "2023-09-23" @default.
- W2042944852 title "RobustM-estimators of multivariate location and scatter in the presence of asymmetry" @default.
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- W2042944852 doi "https://doi.org/10.2307/3314661" @default.
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