Area Exam Papers

Here is the copy of my area exam report:

A. Kim, "Robust Estimation of Multivariate Location and Covariance," MIT Doctoral Area Exam, February 2000.

Primary Sources

The majority of my area exam is be based on the content of the following 5 papers (Note: these papers are from the JSTOR database.):

R. Maronna, "Robust M-Estimators of Multivariate Location and Scatter" , Annals of Statistics , vol. 4, issue 1, Jan. 1976, pp. 51-67.

P. Davies, "Asymptotic Behaviour of S-Estimates of Multivariate Location Parameters and Dispersion Matrices" , Annals of Statistics , vol. 15, issue 3, Sept. 1987, pp. 1269-1292.

H. Lopuhaa "On the Relation between S-Estimators and M-Estimators of Multivariate Location and Covariance" , Annals of Statistics , vol. 17, issue 4, Dec. 1989, pp. 1662-1683.

H. Lopuhaa and P. Rousseeuw, "Breakdown Points of Affine Equivariant Estimators of Multivariate Location and Covariance Matrices" , Annals of Statistics , vol. 19, issue 1, Mar. 1991, pp. 229-248.

R. Butler, P. Davies, and M. Jhun, "Asymptotics for the Minimum Covariance Determinant Estimator" , Annals of Statistics , vol. 21, issue 3, Sept. 1993, pp. 1385-1400.

Secondary Sources

Auxiliary content is taken from the following sources. This includes material to provide an introduction to robust estimation (for the univariate case) and to round out issues in the primary papers listed above.

P. Rousseeuw and K. Driessen, "A Fast Algorithm for the Minimum Covariance Determinant Estimator" , Technometrics , vol. 41, Dec. 1998, pp. 212-223.

F. Hampel, E. Ronchetti, P. Rousseeuw, and W. Stahel, Robust Statistics: the Approach Based on Influence Functions , Wiley-Interscience, New York (Series in Probability and Mathematical Statistics), 1986.

Last updated: Jan. 26, 2000.

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