Redescending $M$-Estimates of Multivariate Location and Scatter

John T. Kent; David E. Tyler

doi:10.1214/aos/1176348388

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December, 1991 Redescending $M$-Estimates of Multivariate Location and Scatter

John T. Kent, David E. Tyler

Ann. Statist. 19(4): 2102-2119 (December, 1991). DOI: 10.1214/aos/1176348388

Abstract

A class of redescending $M$-estimates of multivariate location and scatter are investigated. Sufficient conditions are given to ensure the existence and uniqueness of the estimates. These results are applied to the multivariate $t$-distribution with degrees of freedom $\nu \geq 1.$

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John T. Kent. David E. Tyler. "Redescending $M$-Estimates of Multivariate Location and Scatter." Ann. Statist. 19 (4) 2102 - 2119, December, 1991. https://doi.org/10.1214/aos/1176348388