Transcription of Chapter 3 Multivariate Location and Scale Estimation
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Chapter 3 Multivariate Location and Scale Estimation
51 Chapter 3 Multivariate Location and Scale Estimation Introduction We have already discussed the classical OLS regression procedure as well as the low breakdown M and BI robust regression procedures. In order to make the transition to current high breakdown regression techniques, this Chapter offers a literature search of various Multivariate Location and Scale Estimation procedures. The estimator for Scale in the Multivariate setting if often referred to as either a dispersion matrix or, more commonly, a covariance matrix. The situation is such that the data has n observations covering i. the k regressor variables or ii. the k regressor variables plus the response variable. Estimation is then in either k dimensions (case i.) or p dimensions (case ii.). Note that in either case, an intercept variable (column of ones) is not incorporated.
51 Chapter 3 Multivariate Location and Scale Estimation Introduction We have already discussed the classical OLS regression procedure as well as the low
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