Authors
Sara Taskinen, Gabriel Frahm, Klaus Nordhausen, Hannu Oja
Publication date
2022/11/26
Source
Robust and Multivariate Statistical Methods: Festschrift in Honor of David E. Tyler
Pages
23-41
Publisher
Springer International Publishing
Description
In a seminal paper, Tyler suggests an M-estimator for shape, which is now known as Tyler’s shape matrix. Tyler’s shape matrix is increasingly popular due to its nice statistical properties. It is distribution free within the class of generalized elliptical distributions. Further, under very mild regularity conditions, it is consistent and asymptotically normally distributed after the usual standardization. Tyler’s shape matrix is still the subject of active research, e.g., in the signal processing literature, which discusses structured and regularized shape matrices. In this article, we review Tyler’s original shape matrix and some recent developments.
Total citations
2022202312
Scholar articles
S Taskinen, G Frahm, K Nordhausen, H Oja - Robust and Multivariate Statistical Methods: Festschrift …, 2022