Frahm, Gabriel; Jaekel, Uwe - In: Computational Statistics & Data Analysis 54 (2010) 2, pp. 374-393
Many different robust estimation approaches for the covariance or shape matrix of multivariate data have been established. Tyler's M-estimator has been recognized as the 'most robust' M-estimator for the shape matrix of elliptically symmetric distributed data. Tyler's M-estimators for location...