Biometrika · 1983 · 174 citations · 6 references
Natural SciencesBiostatisticsMathematicsMeasurement InvariancePsychometricsStatisticsEstimation TheoryInferential StatisticsMaximum Likelihood EstimationRobust Statistical ModelingRobust StatisticsStatistical InferenceCovariance Matrix EstimationEfficiencyEfficiency-robustness TradeoffLikelihood Ratio TestingLikelihood Ratio TestsLog-likelihood RatioRobust Covariance EstimationStatistical Efficiency
The robustness and efficiency properties of likelihood ratio tests for functions of the population covariance matrix are studied. An alternative class of tests based upon affine-invariant M-estimates of scatter is proposed whenever the function of the covariance matrix is invariant under a common scale change. For such inferences, it is shown that a single scalar-valued index of efficiency is sufficient.
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Introduction to Multivariate Analysis
Jack C. Lee, C. Chatfield, Alexander J. Collins · Technometrics · 1983 · 1.8K citations
Robust $M$-Estimators of Multivariate Location and Scatter
Ricardo A. Maronna · The Annals of Statistics · 1976 · 947 citations · Full text