Robustness and efficiency properties of scatter matrices
BiometrikaPublished 1 January 1983
David E. Tyler
Citations172
SJR quartileQ1
SJR score3.60
SNIP2.67
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Abstract
The robustness and efficiency properties of likelihood ratio tests for functions of the population covariance matrix are studied. An alternative class of tests based upon affine-invariant M-estimates of scatter is proposed whenever the function of the covariance matrix is invariant under a common scale change. For such inferences, it is shown that a single scalar-valued index of efficiency is sufficient.
Keywords
Mathematics
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