A Distribution-Free $M$-Estimator of Multivariate Scatter

• 1 March 1987
• journal article
• Published by Institute of Mathematical Statistics in The Annals of Statistics
• Vol. 15  (1) , 234-251
• https://doi.org/10.1214/aos/1176350263

Abstract

Keywords

• MULTIVARIATE DISTRIBUTION
• ROBUSTNESS
• SAMPLE SIZE
• ELLIPTICAL DISTRIBUTION
• COVARIANCE MATRIX
• SCATTERING MATRIX
• ROBUST ESTIMATOR
• ASYMPTOTIC VARIANCE
• ASYMPTOTIC DISTRIBUTION