Redescending $M$-Estimates of Multivariate Location and Scatter
Kent, John T. ; Tyler, David E.
Ann. Statist., Tome 19 (1991) no. 1, p. 2102-2119 / Harvested from Project Euclid
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A class of redescending $M$-estimates of multivariate location and scatter are investigated. Sufficient conditions are given to ensure the existence and uniqueness of the estimates. These results are applied to the multivariate $t$-distribution with degrees of freedom $\nu \geq 1.$
Publié le : 1991-12-14
Classification:  Redescending $M$-estimate,  robustness,  multivariate $t$-distribution,  62H12,  62h10 
@article{1176348388,
     author = {Kent, John T. and Tyler, David E.},
     title = {Redescending $M$-Estimates of Multivariate Location and Scatter},
     journal = {Ann. Statist.},
     volume = {19},
     number = {1},
     year = {1991},
     pages = { 2102-2119},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176348388}
}

Kent, John T.; Tyler, David E. Redescending $M$-Estimates of Multivariate Location and Scatter. Ann. Statist., Tome 19 (1991) no. 1, pp.  2102-2119. http://gdmltest.u-ga.fr/item/1176348388/