One-step M-estimates of scatter and the independence property

J. Virta

Statistics & Probability Letters, 2016, vol. 110, issue C, 133-136

Abstract: We consider a specific set of one-step M-estimates of scatter parametrized by an arbitrary non-negative and continuous weight function and show that precisely two non-trivial scatter functionals in the set have the independence property.

Keywords: Covariance matrix; Independent component analysis; Scatter functional; Weight function (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2015.12.006

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