In this paper, we propose a new componentwise estimator of a dispersion matrix, based on a highly robust estimator of scale. The key idea is the elimination of a location estimator in the dispersion estimation procedure. The robustness properties are studied by means of the influence function and th
Robustness properties of dispersion estimators
β Scribed by Marc G. Genton; Yanyuan Ma
- Publisher
- Elsevier Science
- Year
- 1999
- Tongue
- English
- Weight
- 250 KB
- Volume
- 44
- Category
- Article
- ISSN
- 0167-7152
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