A note on multivariate M-quantiles

The extension of M-quantiles to a multivariate setting was originally introduced by Breckling and Chambers (Biometrika 75 (4) (1988) 761). In certain situations, their definition does not produce intuitive results. We present an alternative definition that overcomes these shortcomings.

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Year of publication:	2001
Authors:	Breckling, Jens ; Kokic, Philip ; Lübke, Oliver
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 55.2001, 1, p. 39-44
Publisher:	Elsevier
Keywords:	M-estimates Multivariate ordering Affine equivariance Robust statistics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319736