Breakdown points of affine equivariant estimators of multivariate location and covariance matrices

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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

Regression Behavior Breakdown point Affine equivariance Tails of a distribution Weighted mean and covariance

DOI related publication

https://doi.org/10.1214/aos/1176347978 Final published version

To reference this document use

https://resolver.tudelft.nl/uuid:f7db26c3-900d-4cc3-ba17-5843b9e47172

More Info

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Publication Year

1991

Language

English

Research Group

Statistics

Journal title

Annals of Statistics

Issue number

1

Volume number

19

Pages (from-to)

229-248

Downloads counter

36

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.