Abstract
We discuss the relation between S-estimators and M-estimators of multivariate location and covariance. As in the case of the estimation of a multiple regression parameter, S-estimators are shown to satisfy first-order conditions of M-estimators. We show that the influence function IF (x;S,F) of S-functionals exists and is the same as that of corresponding M-functionals. Also, we show that S-estimators have a limiting normal distribution which is similar to the limiting normal distribution which is similar to the limiting normal distribution of M-estimators. Finally, we compare asymptotic variances and breakdown point of both types of estimators.
Original language | English |
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Pages (from-to) | 1662-1683 |
Number of pages | 22 |
Journal | Annals of Statistics |
Volume | 17 |
Issue number | 4 |
DOIs | |
Publication status | Published - 1989 |