Differentiability of t-functionals of location and scatter
Name
Dudley.pdf
Size
431.03 KB
Format
Adobe PDF
Checksum (MD5)
b2ecc26f058f2eacfa7084c7250fe4f6
Author(s)
Dudley, Richard M.
Sidenko, Sergiy
Wang, Zuoqin
Date Issued
June 2011
Journal
Annals of Statistics
Publisher
Institute of Mathematical Statistics
Citation
Dudley, R. M., Sergiy Sidenko and Zuoqin Wang. "Differentiability of t-functionals of location and scatter." Ann. Statist. 37.2 (2009): 939-960.
Version
Author's final manuscript
Abstract
The paper aims at finding widely and smoothly defined nonparametric location and scatter functionals. As a convenient vehicle, maximum likelihood estimation of the location vector μ and scatter matrix Σ of an elliptically symmetric t distribution on ℝd with degrees of freedom ν>1 extends to an M-functional defined on all probability distributions P in a weakly open, weakly dense domain U. Here U consists of P putting not too much mass in hyperplanes of dimension
MIT Department
Massachusetts Institute of Technology. Department of Mathematics
Terms of Use
Creative Commons Attribution-Noncommercial-Share Alike 3.0
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1214/08-AOS592
