Differentiability of t-functionals of location and scatter
Dudley, R. M. ; Sidenko, Sergiy ; Wang, Zuoqin
Ann. Statist., Tome 37 (2009) no. 1, p. 939-960 / Harvested from Project Euclid
The paper aims at finding widely and smoothly defined nonparametric location and scatter functionals. As a convenient vehicle, maximum likelihood estimation of the location vector μ and scatter matrix Σ of an elliptically symmetric t distribution on ℝd with degrees of freedom ν>1 extends to an M-functional defined on all probability distributions P in a weakly open, weakly dense domain U. Here U consists of P putting not too much mass in hyperplanes of dimension n, Σn). In dimension d=1 only, the tν functional (μ, σ) extends to be defined and weakly continuous at all P.
Publié le : 2009-04-15
Classification:  Affinely equivariant,  Fréchet differentiable,  weakly continuous,  62G05,  62GH20,  62G35
@article{1236693155,
     author = {Dudley, R. M. and Sidenko, Sergiy and Wang, Zuoqin},
     title = {Differentiability of t-functionals of location and scatter},
     journal = {Ann. Statist.},
     volume = {37},
     number = {1},
     year = {2009},
     pages = { 939-960},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1236693155}
}
Dudley, R. M.; Sidenko, Sergiy; Wang, Zuoqin. Differentiability of t-functionals of location and scatter. Ann. Statist., Tome 37 (2009) no. 1, pp.  939-960. http://gdmltest.u-ga.fr/item/1236693155/