BREAKDOWN POINTS OF AFFINE EQUIVARIANT ESTIMATORS OF MULTIVARIATE LOCATION AND COVARIANCE MATRICES
BREAKDOWN POINTS OF AFFINE EQUIVARIANT ESTIMATORS OF MULTIVARIATE LOCATION AND COVARIANCE MATRICES
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DOI：
10.1214/aos/1176347978
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发表时间：
1991-03-01
影响因子：
4.5
通讯作者：
ROUSSEEUW, PJ
中科院分区：
文献类型：
--
作者：
LOPUHAA, HP;ROUSSEEUW, PJ
针对不同类型的多元位置和协方差矩阵的估计量导出有限样本替换故障点。 说明了各种等方差性质的作用。 故障点与基于大偏差概率的性能度量相关。 最后，我们证明一步重新加权可以保留故障点。
Finite-sample replacement breakdown points are derived for different types of estimators of multivariate location and covariance matrices. The role of various equivariance properties is illustrated. The breakdown point is related to a measure of performance based on large deviations probabilities. Finally, we show that one-step reweighting preserves the breakdown point.