Symmetrised M-estimators of multivariate scatter
AbstractIn this paper we introduce a family of symmetrised M-estimators of multivariate scatter. These are defined to be M-estimators only computed on pairwise differences of the observed multivariate data. Symmetrised Huber's M-estimator and Dümbgen's estimator serve as our examples. The influence functions of the symmetrised M-functionals are derived and the limiting distributions of the estimators are discussed in the multivariate elliptical case to consider the robustness and efficiency properties of estimators. The symmetrised M-estimators have the important independence property; they can therefore be used to find the independent components in the independent component analysis (ICA).
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 98 (2007)
Issue (Month): 8 (September)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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