Asymptotic expansion of S-estimators of location and covariance

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Asymptotic expansion of S-estimators of location and covariance

Journal Article (1997)

Author(s)

H.P. Lopuhaä (TU Delft - Electrical Engineering, Mathematics and Computer Science)

Research Group

Statistics

Robust estimation of multivariate location and covariance Asymptotic normality of S-estimators Application of empirical process theory MULTIVARIATE LOCATION DISPERSION MATRICES

DOI related publication

https://doi.org/10.1111/1467-9574.00051 Final published version

To reference this document use

https://resolver.tudelft.nl/uuid:15c36c0c-4984-4988-a28b-bd370895041f

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Publication Year

1997

Language

English

Research Group

Statistics

Issue number

2

Volume number

51

Pages (from-to)

220-237

Downloads counter

72

Abstract

By means of a straightforward application of empirical process theory, we show that S-estimators of multivariate location and covariance are asymptotically equivalent to a sum of independent vector and matrix valued random elements respectively. This provides an alternative proof of asymptotic normality of S-estimators and clearly explains the limiting covariance structure. It also leads to a relatively simple proof of asymptotic normality of the length of the shortest alpha-fraction.