The asymptotic covariance matrix of the Oja median

Abstract

The Oja median, based on a sample of multivariate data, is an affine equivariant estimate of the centre of the distribution. It reduces to the sample median in one dimension and has several nice robustness and efficiency properties. We develop different representations of its asymptotic variance and discuss ways to estimate this quantity. We consider symmetric multivariate models and also the more narrow elliptical models. A small simulation study is included to compare finite sample results to the asymptotic formulas. (C) 2003 Elsevier B.V. All rights reserved.