Abstract
An iterative algorithm for the robust M-estimation of the dispersion matrix of the form Γ + σ2 I p has been given. This algorithm converges after some steps and reduces the effect of outliers on the covariance matrix. The consistency and asymptotic normality of the estimator are established.
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Bhandapy, M. Robust M-estimation of a dispersion matrix with a structure. Ann Inst Stat Math 43, 689–705 (1991). https://doi.org/10.1007/BF00121648
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DOI: https://doi.org/10.1007/BF00121648