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Weighted M-estimators for multivariate clustered data

Abstract : We study weighted M-estimators for Rd-valued clustered data and give sufficient conditions for their consistency. Their asymptotic normality is established with estimation of the asymptotic covariance matrix. We address the robustness of these estimators in terms of their breakdown point. Comparison with the unweighted case is performed with some numerical studies. They highlight that optimal weights maximizing the relative efficiency have a bad impact on the breakdown point.
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Article dans une revue
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Déposant : Edith Gabriel <>
Soumis le : mardi 18 août 2020 - 15:55:12
Dernière modification le : jeudi 20 août 2020 - 03:13:45




M. El Asri, Delphine Blanke, Edith Gabriel. Weighted M-estimators for multivariate clustered data. Statistics & Probability Letters, 2016, 112, pp.26-34. ⟨10.1016/j.spl.2016.01.016⟩. ⟨hal-02917099⟩



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