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Power M-Estimators for Location and Scatter

In: Robust and Multivariate Statistical Methods

Author

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  • Gabriel Frahm

    (Helmut Schmidt University, Chair of Applied Stochastics and Risk Management, Department of Mathematics and Statistics)

Abstract

Power M-estimators for location and scatter are studied by Frahm et al. (J. Multivariate Anal. 176:104569, 2020) in the context of missing data. It is shown that they are identical to the corresponding ML-estimators under the assumption that the data possess a re-scaled multivariate power-exponential distribution. Further, the asymptotic distributions for the power M-estimators are simplified. As a by-product, the asymptotic distributions for power M-estimators for scale-invariant functions of scatter are provided, too.

Suggested Citation

  • Gabriel Frahm, 2023. "Power M-Estimators for Location and Scatter," Springer Books, in: Mengxi Yi & Klaus Nordhausen (ed.), Robust and Multivariate Statistical Methods, pages 157-177, Springer.
    • Handle: RePEc:spr:sprchp:978-3-031-22687-8_8
    DOI: 10.1007/978-3-031-22687-8_8
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