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One-step M-estimates of scatter and the independence property

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  • Virta, J.

Abstract

We consider a specific set of one-step M-estimates of scatter parametrized by an arbitrary non-negative and continuous weight function and show that precisely two non-trivial scatter functionals in the set have the independence property.

Suggested Citation

  • Virta, J., 2016. "One-step M-estimates of scatter and the independence property," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 133-136.
    • Handle: RePEc:eee:stapro:v:110:y:2016:i:c:p:133-136
    DOI: 10.1016/j.spl.2015.12.006
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    References listed on IDEAS

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    1. David E. Tyler & Frank Critchley & Lutz Dümbgen & Hannu Oja, 2009. "Invariant co‐ordinate selection," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(3), pages 549-592, June.
    2. Klaus Nordhausen & David E. Tyler, 2015. "A cautionary note on robust covariance plug-in methods," Biometrika, Biometrika Trust, vol. 102(3), pages 573-588.
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    Cited by:

    1. Nordhausen, Klaus & Ruiz-Gazen, Anne, 2022. "On the usage of joint diagonalization in multivariate statistics," Journal of Multivariate Analysis, Elsevier, vol. 188(C).

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