Print Email Facebook Twitter On the relation between S-Estimators and M-Estimators of multivariate location and covariance Title On the relation between S-Estimators and M-Estimators of multivariate location and covariance Author Lopuhaa, H.P. Faculty Electrical Engineering, Mathematics and Computer Science Date 1989 Abstract We discuss the relation between S-estimators and M-estimators of multivariate location and covariance. As in the case of the estimation of a multiple regression parameter, S-estimators are shown to satisfy first-order conditions of M-estimators. We show that the influence function IF (x;S F) of S-functionals exists and is the same as that of corresponding M-functionals. Also, we show that S-estimators have a limiting normal distribution which is similar to the limiting normal distribution which is similar to the limiting normal distribution of M-estimators. Finally, we compare asymptotic variances and breakdown point of both types of estimators. To reference this document use: http://resolver.tudelft.nl/uuid:fdd8d50a-3336-4016-ab1b-c7a6892b5425 DOI https://doi.org/10.1214/aos/1176347386 Publisher Duke University Press ISSN 0090-5364 Source Annals of statistics. 17(4)1989, 1662-1683 Part of collection Institutional Repository Document type journal article Rights (c) Institute of Mathematical Statistics Files PDF Lopuhaa.euclid.pdf 1.92 MB Close viewer /islandora/object/uuid:fdd8d50a-3336-4016-ab1b-c7a6892b5425/datastream/OBJ/view