Chakraborty, Biman ; Chaudhuri, Probal (1998) On an adaptive transformation-retransformation estimate of multivariate location Journal of the Royal Statistical Society: Series B, 60 (1). pp. 145-157. ISSN 1369-7412
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Official URL: http://onlinelibrary.wiley.com/doi/10.1111/1467-98...
Related URL: http://dx.doi.org/10.1111/1467-9868.00114
Abstract
An affine equivariant estimate of multivariate location based on an adaptive transformation and retransformation approach is studied. The work is primarily motivated by earlier work on different versions of the multivariate median and their properties. We explore an issue related to efficiency and equivariance that was originally raised by Bickel and subsequently investigated by Brown and Hettmansperger. Our estimate has better asymptotic performance than the vector of co-ordinatewise medians when the variables are substantially correlated. The finite sample performance of the estimate is investigated by using Monte Carlo simulations. Some examples are presented to demonstrate the effect of the adaptive transformation-retransformation strategy in the construction of multivariate location estimates for real data.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Royal Statistical Society. |
| Keywords: | Affine Transformation; Asymptotic Efficiency; Equivariance; Generalized Variance; Multivariate Median |
| ID Code: | 8118 |
| Deposited On: | 26 Oct 2010 04:27 |
| Last Modified: | 04 Feb 2011 05:47 |
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