A note on multivariate location and scatter statistics for sparse data sets

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18 Scopus citations

Abstract

For a p-dimensional data set of size np+1 in general position, it is shown that the only affine equivariant multivariate location statistic is the sample mean vector and that any affine equivariant scatter matrix must be proportional to the sample covariance matrix, with the proportionality constant not being dependent on the data.

Original languageEnglish (US)
Pages (from-to)1409-1413
Number of pages5
JournalStatistics and Probability Letters
Volume80
Issue number17-18
DOIs
StatePublished - Sep 2010

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Affine equivariance
  • Robust multivariate statistics
  • Sparse data

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