Breakdown points of affine equivariant estimators of multivariate location and covariance matrices

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Abstract

Finite-sample replacement breakdown points are derived for different types of estimators of multivariate location and covariance matrices. The role of various equivariance properties is illustrated. The breakdown point is related to a measure of performance based on large deviations probabilities. Finally, we show that one-step reweighting preserves the breakdown point.
Original languageEnglish
Pages (from-to)229-248
Number of pages20
JournalAnnals of Statistics
Volume19
Issue number1
DOIs
Publication statusPublished - 1991

Keywords

  • Breakdown point
  • affine equivariance
  • Tails of a distribution
  • Weighted mean and covariance
  • Regression
  • Behavior

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