Influence functions of two families of robust estimators under proportional scatter matrices

Graciela Boente (), Frank Critchley () and Liliana Orellana ()
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Graciela Boente: Universidad de Buenos Aires and CONICET
Frank Critchley: The Open University
Liliana Orellana: Harvard University

Statistical Methods & Applications, 2007, vol. 15, issue 3, No 3, 295-327

Abstract: Abstract In this paper, under a proportional model, two families of robust estimates for the proportionality constants, the common principal axes and their size are discussed. The first approach is obtained by plugging robust scatter matrices on the maximum likelihood equations for normal data. A projection- pursuit and a modified projection-pursuit approach, adapted to the proportional setting, are also considered. For all families of estimates, partial influence functions are obtained and asymptotic variances are derived from them. The performance of the estimates is compared through a Monte Carlo study.

Keywords: Robust estimation; Robust scatter matrices; Projection-pursuit; Proportional scatter models; Partial influence curves (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10260-006-0029-1

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