Robust and Semiparametric Efficient Estimators in Elliptical Distributions

6 Feb 2020Stefano FortunatiAlexandre RenauxFrédéric Pascal

This paper focuses on the semiparametric covariance/scatter matrix estimation problem in elliptical distributions. The class of elliptical distributions can be seen as a semiparametric model where the finite-dimensional vector of interest is given by the mean vector and by the (vectorized) covariance/scatter matrix, while the density generator represents an infinite-dimensional nuisance function... (read more)

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