M. Fekri et A. Ruiz-gazen, Asymptotic properties and influence function of a robust and simple dispersion matrix estimator, CR AC S I, 330(6), 2000, pp. 505-508
Citations number
15
Categorie Soggetti
Mathematics
Journal title
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE
In [14], we define a robust and simple covariance estimator and give some o
f its properties such as definite positiveness, consistency and B-robustnes
s. In the present note, we propose to complete this theoretical study and g
ive the asymptotic distribution and influence function of the estimator and
of its spectral elements. (C) 2000 Academie des sciences/Editions scientif
iques et medicales Elsevier SAS.