MULTIVARIATE RECURSIVE M-ESTIMATORS OF LOCATION AND SCATTER FOR DEPENDENT SEQUENCES

被引：7
|
作者：
ENGLUND, JE
机构：
来源：
JOURNAL OF MULTIVARIATE ANALYSIS | 1993年 / 45卷 / 02期
关键词：
ROBUST ESTIMATION; RECURSIVE M-ESTIMATORS; ADAPTIVE STOCHASTIC APPROXIMATION; STRONG MIXING; STRONG CONVERGENCE; SCATTER MATRIX;
D O I：
10.1006/jmva.1993.1038
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper treats strong convergence of adaptive multivariate recursive M-estimators of location when the scatter matrices are unknown. The observations are elliptically distributed and form a strictly stationary strong mixing sequence. The main algorithm handles a recursive estimator of location and scatter which corresponds to the non-recursive robust M-estimator of location and scatter proposed by Maronna. © 1993 Academic Press Inc.
引用
收藏
页码：257 / 273
页数：17
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