Abstract
This paper gives a selective overview and discusses some contemporary issues in the robust estimation of multivariate location and scatter. Special emphasis is placed on the seeming trade off between local and global robustness properties of affine equivariant estimators, and in particular of M-estimators, MVE-estimators and S-estimators. Furthermore, a reappraisal of the breakdown point of redescending M-estimators is made.
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Abbreviations
- AMS 1980 subject classifications:
-
Primary 62H12, 62H10
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Tyler, D.E. (1991). Some Issues in the Robust Estimation of Multivariate Location and Scatter. In: Directions in Robust Statistics and Diagnostics. The IMA Volumes in Mathematics and its Applications, vol 34. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-4444-8_18
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DOI: https://doi.org/10.1007/978-1-4612-4444-8_18
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