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arXiv · 2505.01669

High-Dimensional Hettmansperger-Randles Estimator and its Applications

Guowei Yan·Long Feng·Xiaoxu Zhang
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Abstract

The classic Hettmansperger-Randles Estimator has found extensive use in robust statistical inference. However, it cannot be directly applied to high-dimensional data. In this paper, we propose a high-dimensional Hettmansperger-Randles Estimator for the location parameter and scatter matrix of elliptical distributions in high-dimensional scenarios. Subsequently, we apply these estimators to two prominent problems: the one-sample location test problem and quadratic discriminant analysis. We discover that the corresponding new methods exhibit high effectiveness across a broad range of distributions. Both simulation studies and real-data applications further illustrate the superiority of the newly proposed methods.

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Guowei Yan, Long Feng, Xiaoxu Zhang. 2025-05-03. High-Dimensional Hettmansperger-Randles Estimator and its Applications. https://arxiv.org/abs/2505.01669

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