Multivariate Recursive M-Estimators of Location and Scatter for Dependent Sequences

J. E. Englund

Journal of Multivariate Analysis, 1993, vol. 45, issue 2, 257-273

Abstract: 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.

Date: 1993
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