An L1-Type Estimator of Multivariate Location and Shape

In this note we study a multivariate extension of the median obtained by considering the median as the L1 location estimator. Contrary to other multivariate extensions, this multivariate estimator yields simultaneously a location estimate and shape/scatter estimate. We investigate properties of the estimator such as the influence function and asymptotic variances and compare it with other estimators of location and shape. © 2006 Springer-Verlag.status: publishe