The Annals of Statistics
- Ann. Statist.
- Volume 32, Number 1 (2004), 167-188.
On the Stahel-Donoho estimator and depth-weighted means of multivariate data
The depth of multivariate data can be used to construct weighted means as robust estimators of location. The use of projection depth leads to the Stahel-Donoho estimator as a special case. In contrast to maximal depth estimators, the depth-weighted means are shown to be asymptotically normal under appropriate conditions met by depth functions commonly used in the current literature. We also confirm through a finite-sample study that the Stahel-Donoho estimator achieves a desirable balance between robustness and efficiency at Gaussian models.
Ann. Statist., Volume 32, Number 1 (2004), 167-188.
First available in Project Euclid: 12 March 2004
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Zuo, Yijun; Cui, Hengjian; He, Xuming. On the Stahel-Donoho estimator and depth-weighted means of multivariate data. Ann. Statist. 32 (2004), no. 1, 167--188. doi:10.1214/aos/1079120132. https://projecteuclid.org/euclid.aos/1079120132