6533b829fe1ef96bd128abd5
RESEARCH PRODUCT
The asymptotic covariance matrix of the Oja median
Thomas P. HettmanspergerMustafa NadarHannu Ojasubject
Statistics and ProbabilityCombinatoricsDelta methodMultivariate statisticsMatrix (mathematics)Multivariate analysis of varianceDimension (vector space)Matrix t-distributionApplied mathematicsEquivariant mapAffine transformationStatistics Probability and UncertaintyMathematicsdescription
The Oja median, based on a sample of multivariate data, is an affine equivariant estimate of the centre of the distribution. It reduces to the sample median in one dimension and has several nice robustness and efficiency properties. We develop different representations of its asymptotic variance and discuss ways to estimate this quantity. We consider symmetric multivariate models and also the more narrow elliptical models. A small simulation study is included to compare finite sample results to the asymptotic formulas.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2003-10-01 | Statistics & Probability Letters |