Tests for large-dimensional shape matrices via Tyler’s M estimators

IF 3 1区数学 Q1 STATISTICS & PROBABILITY

Journal of the American Statistical Association Pub Date : 2024-05-03 DOI:10.1080/01621459.2024.2350573

Runze Li, Weiming Li, Qinwen Wang

引用次数: 0

Abstract

Tyler’s M estimator, as a robust alternative to the sample covariance matrix, has been widely applied in robust statistics. However, classical theory on Tyler’s M estimator is mainly developed in t...

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通过泰勒 M 估计数测试大维度形状矩阵

泰勒 M 估计器作为样本协方差矩阵的稳健替代方法，已被广泛应用于稳健统计中。然而，Tyler's M 估计器的经典理论主要是在统计学中发展起来的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of the American Statistical Association 数学-统计学与概率论

CiteScore

7.50

自引率

8.10%

发文量

168

审稿时长

12 months

期刊介绍： Established in 1888 and published quarterly in March, June, September, and December, the Journal of the American Statistical Association ( JASA ) has long been considered the premier journal of statistical science. Articles focus on statistical applications, theory, and methods in economic, social, physical, engineering, and health sciences. Important books contributing to statistical advancement are reviewed in JASA . JASA is indexed in Current Index to Statistics and MathSci Online and reviewed in Mathematical Reviews. JASA is abstracted by Access Company and is indexed and abstracted in the SRM Database of Social Research Methodology.