Breakdown points of affine equivariant estimators of multivariate location and covariance matrices
Journal Article
(1991)
Author(s)
H.P. Lopuhaä (TU Delft - Statistics)
Research Group
Statistics
DOI related publication
https://doi.org/10.1214/aos/1176347978
To reference this document use:
https://resolver.tudelft.nl/uuid:f7db26c3-900d-4cc3-ba17-5843b9e47172
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Publication Year
1991
Language
English
Research Group
Statistics
Issue number
1
Volume number
19
Pages (from-to)
229-248
Abstract
Finite-sample replacement breakdown points are derived for different types of estimators of multivariate location and covariance matrices. The role of various equivariance properties is illustrated. The breakdown point is related to a measure of performance based on large deviations probabilities. Finally, we show that one-step reweighting preserves the breakdown point.
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