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Multivariate Recursive M-Estimators of Location and Scatter for Dependent Sequences

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  • Englund, J. E.

Abstract

This paper treats strong convergence of adaptive multivariate recursive M-estimators of location when the scatter matrices are unknown. The observations are elliptically distributed and form a strictly stationary strong mixing sequence. The main algorithm handles a recursive estimator of location and scatter which corresponds to the non-recursive robust M-estimator of location and scatter proposed by Maronna.

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  • Englund, J. E., 1993. "Multivariate Recursive M-Estimators of Location and Scatter for Dependent Sequences," Journal of Multivariate Analysis, Elsevier, vol. 45(2), pages 257-273, May.
    • Handle: RePEc:eee:jmvana:v:45:y:1993:i:2:p:257-273
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