Robustness properties of dispersion estimators

Statistics and Probability Letters

Volumn 44, Issue 4, 1999, Pages 343-350

  Genton, Marc G ^a   Yanyuan, Ma ^a  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Asymptotic variance; B robust; Correlation; Covariance; Influence function; M estimator; Most B robust

Indexed keywords

EID: 0033211964     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(99)00025-5     Document Type: Article

References (13)

1. Devlin, S.J., Gnanadesikan, R., Kettenring, J.R., 1975. Robust estimation and outlier detection with correlation coefficients. Biometrika 62, 531-545.
2. Devlin, S.J., Gnanadesikan, R., Kettenring, J.R., 1976. Some multivariate applications of elliptical distributions. In: S. Ikeda et al. (Eds.), Essays in Probability and Statistics. Tokyo, Japan, pp. 365-393.
3. Fang, K., Zhang, Y., 1990. Generalized Multivariate Analysis. Springer, Berlin.
4. Genton, M.G., 1998. Asymptotic variance of M-estimators for dependent Gaussian random variables. Statist. Probab. Lett. 38, 255-261.
5. Genton, M.G., Rousseeuw, P.J., 1995. The change-of-variance function of M-estimators of scale under general contamination. J. Comput. Appl. Math. 64, 69-80.
6. Gnanadesikan, R., 1997. Methods for Statistical Data Analysis of Multivariate Observations, second edition. Wiley, New York.
7. Gnanadesikan, R., Kettenring, J.R., 1972. Robust estimates, residuals, and outlier detection with multireponse data. Biometrics 28, 81-124.
8. Hampel, F.R., 1974. The influence curve and its role in robust estimation. J. Amer. Statist. Assoc. 69, 383-393.
9. Hampel, F.R., Ronchetti, E.M., Rousseeuw, P.J., Stahel, W.A., 1986. Robust Statistics: The Approach based on Influence Functions. Wiley, New York.
10. Huber, P.J., 1981. Robust Statistics. Wiley, New York.
11. Kano, Y., 1994. Consistency property of elliptical probability density functions. J. Multivariate Anal. 51, 139-147.
12. Ma, Y., Genton, M.G., 1998. Highly robust estimation of the autocovariance function. J. Time Ser. Anal., submitted for publication.
13. Mardia, K.V., Kent, J.T., Bibby, J.M., 1979. Multivariate Analysis. Academic Press, New York.