Frahm, Gabriel; Jaekel, Uwe - Seminar für Wirtschafts- und Sozialstatistik, … - 2009
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 … data. It is shown that the shape matrix estimator remains distribution-free under the class of generalized elliptical …