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dc.contributor.authorFrahm, Gabrielen
dc.date.accessioned2009-09-14-
dc.date.accessioned2011-04-14T12:29:11Z-
dc.date.available2011-04-14T12:29:11Z-
dc.date.issued2008-
dc.identifier.urihttp://hdl.handle.net/10419/44943-
dc.description.abstractIt has been frequently observed in the literature that many multivariate statistical methods require the covariance or dispersion matrix ∑ of an elliptical distribution only up to some scaling constant. If the topic of interest is not the scale but only the shape of the elliptical distribution, it is not meaningful to focus on the asymptotic distribution of an estimator for ∑ or another matrix Γ ∝ ∑. In the present work, robust estimators for the shape matrix and the associated scale are investigated. Explicit expressions for their joint asymptotic distributions are derived. It turns out that if the joint asymptotic distribution is normal, the presented estimators are asymptotically independent for one and only one specific choice of the scale function. If it is non-normal (this holds for example if the estimators for the shape matrix and scale are based on the minimum volume ellipsoid estimator) only the presented scale function leads to asymptotically uncorrelated estimators. This is a generalization of a result obtained by Paindaveine (2008) in the context of local asymptotic normality theory.en
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Seminar of Economic and Social Statistics |cCologneen
dc.relation.ispartofseries|aDiscussion Papers in Statistics and Econometrics |x5/07en
dc.subject.jelH20en
dc.subject.jelE20en
dc.subject.ddc330en
dc.subject.keywordlocal asymptotic normalityen
dc.subject.keywordM-estimatoren
dc.subject.keywordR-estimatoren
dc.subject.keywordrobust covariance matrix estimatoren
dc.subject.keywordscale-invariant functionen
dc.subject.keywordS-estimatoren
dc.subject.keywordshape matrixen
dc.subject.keywordTyler's M-estimatoren
dc.titleAsymptotic distributions of robust shape matrices and scales-
dc.typeWorking Paperen
dc.identifier.ppn608699551en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:ucdpse:507en

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