Lind, John C.; Wiens, Douglas P.; Yohai, Victor J. - In: Computational Statistics & Data Analysis 65 (2013) C, pp. 98-112
Two robust estimators of a matrix-valued location parameter are introduced and discussed. Each is the average of the members of a subsample–typically of covariance or cross-spectrum matrices–with the subsample chosen to minimize a function of its average. In one case this function is the...