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Frahm, Gabriel
Jaekel, Uwe
Year of Publication: 
Series/Report no.: 
Discussion papers in statistics and econometrics 3/07
Many different robust estimation approaches for the covariance or shape matrix of multivariate data have been established until today. Tyler's M-estimator has been recognized as the 'most robust' M-estimator for the shape matrix of elliptically symmetric distributed data. Tyler's Mestimators for location and shape are generalized by taking account of incomplete data. It is shown that the shape matrix estimator remains distribution-free under the class of generalized elliptical distributions. Its asymptotic distribution is also derived and a fast algorithm, which works well even for high-dimensional data, is presented. A simulation study with clean and contaminated data covers the complete-data as well as the incomplete-data case, where the missing data are assumed to be MCAR, MAR, and NMAR.
covariance matrix
distribution-free estimation
missing data
robust estimation
shape matrix
sign-based estimator
Tyler's M-estimator
Document Type: 
Working Paper

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