Aarhus Universitets segl

Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review


This work proposes a study of M-estimates of scatter for matrix angular central Gaussian distributions on Grassmann manifold G(m,r) of all vector subspaces of dimension r of Rm. Such distributions are associated to random subspaces generated by r i.i.d. multivariate centred normal random vectors, and are of interest in Bayesian model selection for cointegration. We provide a careful study of the existence and the unicity of such M-estimators using geometrical arguments, and then study their consistency and asymptotic normality.

TidsskriftJournal of Multivariate Analysis
StatusUdgivet - jul. 2022

Se relationer på Aarhus Universitet Citationsformater

ID: 264407106