Power M-Estimators for Location and Scatter

Gabriel Frahm ()
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Gabriel Frahm: Helmut Schmidt University, Chair of Applied Stochastics and Risk Management, Department of Mathematics and Statistics

A chapter in Robust and Multivariate Statistical Methods, 2023, pp 157-177 from Springer

Abstract: Abstract Power M-estimators for location and scatter are studied by Frahm et al. (J. Multivariate Anal. 176:104569, 2020) in the context of missing data. It is shown that they are identical to the corresponding ML-estimators under the assumption that the data possess a re-scaled multivariate power-exponential distribution. Further, the asymptotic distributions for the power M-estimators are simplified. As a by-product, the asymptotic distributions for power M-estimators for scale-invariant functions of scatter are provided, too.

Keywords: Location, M-estimation, Multivariate power-exponential distribution, Scatter; Tyler’s M-estimator (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-22687-8_8

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DOI: 10.1007/978-3-031-22687-8_8

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