Affine equivariant rank-weighted L-estimation of multivariate location
Statistics Theory
2015-04-02 v2 Statistics Theory
Abstract
In the multivariate one-sample location model, we propose a class of flexible robust, affine-equivariant L-estimators of location, for distributions invoking affine-invariance of Mahalanobis distances of individual observations. An involved iteration process for their computation is numerically illustrated.
Keywords
Cite
@article{arxiv.1503.05392,
title = {Affine equivariant rank-weighted L-estimation of multivariate location},
author = {Pranab Kumar Sen and Jana Jureckova and Jan Picek},
journal= {arXiv preprint arXiv:1503.05392},
year = {2015}
}
Comments
16 pages, 4 figures, 6 tables