Affine equivariant L-estimation of multivariate location

Abstract

In the multivariate one-sample location model, we propose a class of flexible robust, affine equivariant L-estimators of location, for distributions invoking affine-invariance of Mahalanobis distances of individual observations. An involved iteration process for their computation is numerically illustrated.

Keywords

• Mahalanobis distance
• affine-equivariant estimator
• L-estimator
• R-estimator