- Statist. Surv.
- Volume 9 (2015), 32-105.
$M$-functionals of multivariate scatter
This survey provides a self-contained account of $M$-estimation of multivariate scatter. In particular, we present new proofs for existence of the underlying $M$-functionals and discuss their weak continuity and differentiability. This is done in a rather general framework with matrix-valued random variables. By doing so we reveal a connection between Tyler’s (1987a) $M$-functional of scatter and the estimation of proportional covariance matrices. Moreover, this general framework allows us to treat a new class of scatter estimators, based on symmetrizations of arbitrary order. Finally these results are applied to $M$-estimation of multivariate location and scatter via multivariate $t$-distributions.
Statist. Surv., Volume 9 (2015), 32-105.
First available in Project Euclid: 20 March 2015
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Dümbgen, Lutz; Pauly, Markus; Schweizer, Thomas. $M$-functionals of multivariate scatter. Statist. Surv. 9 (2015), 32--105. doi:10.1214/15-SS109. https://projecteuclid.org/euclid.ssu/1426857094