Shevlyakov, Georgy L.; Vilchevski, Nikita O. - In: Statistics & Probability Letters 57 (2002) 1, pp. 91-100
A minimax variance (in the Huber sense) estimator of a correlation coefficient for [var epsilon]-contaminated bivariate normal distributions is given by the trimmed correlation coefficient. Consistency and asymptotic normality of this estimator are established, and the explicit expression for...