2021
DOI: 10.48550/arxiv.2108.13567
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New Highly Efficient High-Breakdown Estimator of Multivariate Scatter and Location for Elliptical Distributions

Abstract: High-breakdown-point estimators of multivariate location and shape matrices, such as the MM-estimator with smooth hard rejection and the Rocke S-estimator, are generally designed to have high efficiency at the Gaussian distribution. However, many phenomena are non-Gaussian, and these estimators can therefore have poor efficiency. This paper proposes a new tunable S-estimator, termed the S-q estimator, for the general class of symmetric elliptical distributions, a class containing many common families such as t… Show more

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