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The influence function of the Stahel–Donoho estimator of multivariate location and scatter

✍ Scribed by Daniel Gervini

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
176 KB
Volume
60
Category
Article
ISSN
0167-7152

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✦ Synopsis

This article derives the in uence function of the Stahel-Donoho estimator of multivariate location and scatter for elliptical distributions. Local robustness and asymptotic relative e ciency are studied. The expressions obtained for the in uence functions coincide with those of one-step reweighted estimators.

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