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Minimax bias-robust estimation of the dispersion matrix of a multivariate distribution
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Abstract
En 中文
Maronna defines affine equivariant M-estimators for multivariate location and scatter. They are particularly suited for estimating the pseudo-covariance or scatter matrix of an elliptical population. By defining the bias of a dispersion matrix properly, we consider the maximum bias of an M-estimator over an E-neighborhood of the underlying elliptical distribution (location known). We find that Tyler's estimator minimizes the maximum bias.
Keywords:
bias
covariance matrix
elliptical distribution
M-estimation
minimax estimation
multivariate scatter
pseudocovariance matrix
robustness
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3.7
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2.8K
Citations:
2.9W
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