THE ASYMPTOTICS OF ROUSSEEUW MINIMUM VOLUME ELLIPSOID ESTIMATOR

被引：67

作者：

DAVIES, L

机构：

来源：

ANNALS OF STATISTICS | 1992年 / 20卷 / 04期

关键词：

MINIMUM VOLUME ELLIPSOID; AFFINE INVARIANT METRICS; HOLDER CONDITIONS; CUBE ROOT CONVERGENCE;

D O I：

10.1214/aos/1176348891

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Rousseeuw's minimum volume estimator for multivariate location and dispersion parameters has the highest possible breakdown point for an affine equivariant estimator. In this paper we establish that it satisfies a local Holder condition of order 1/2 and converges weakly at the rate of n-1/3 to a non-Gaussian distribution.

引用

页码：1828 / 1843

页数：16

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[2]

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