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Testing multivariate scatter parameter in elliptical model based on forward search method

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  • Chakraborty, Chitradipa

Abstract

In this article, we establish a test for multivariate scatter parameter in elliptical model, where the location parameter is known, and the scatter parameter is estimated by the multivariate forward search method. The consistency property of the test, along with its performances for various simulated data in comparison with a classical one, is also studied here.

Suggested Citation

  • Chakraborty, Chitradipa, 2019. "Testing multivariate scatter parameter in elliptical model based on forward search method," Statistics & Probability Letters, Elsevier, vol. 147(C), pages 66-72.
    • Handle: RePEc:eee:stapro:v:147:y:2019:i:c:p:66-72
    DOI: 10.1016/j.spl.2018.11.028
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    References listed on IDEAS

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    1. Cerioli, Andrea & Farcomeni, Alessio & Riani, Marco, 2014. "Strong consistency and robustness of the Forward Search estimator of multivariate location and scatter," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 167-183.
    2. Bent Nielsen & Soren Johansen, 2010. "Discussion of The Forward Search: Theory and Data Analysis," Economics Series Working Papers 2010-W02, University of Oxford, Department of Economics.
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