Minimum density power divergence estimator for covariance matrix based on skew t distribution

Title
Minimum density power divergence estimator for covariance matrix based on skew t distribution
Author(s)
김병수이상열[이상열]
Keywords
ROBUST ESTIMATION; MULTIVARIATE; LOCATION
Issue Date
201411
Publisher
SPRINGER HEIDELBERG
Citation
STATISTICAL METHODS AND APPLICATIONS, v.23, no.4, pp.565 - 575
Abstract
In this paper, we study the problem of estimating the covariance matrix of stationary multivariate time series based on the minimum density power divergence method that uses a multivariate skew t distribution family. It is shown that under regularity conditions, the proposed estimator is strongly consistent and asymptotically normal. A simulation study is provided for illustration.
URI
http://hdl.handle.net/YU.REPOSITORY/30429http://dx.doi.org/10.1007/s10260-014-0284-5
ISSN
1618-2510
Appears in Collections:
이과대학 > 통계학과 > Articles
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