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 elliptically symmetric distributed data. Tyler's Mestimators for...