1. Spatial sign correlation.
- Author
-
Dürre, Alexander, Vogel, Daniel, and Fried, Roland
- Subjects
- *
STATISTICAL correlation , *ROBUST control , *COVARIANCE matrices , *FINITE element method , *ESTIMATION theory , *COMPUTER simulation - Abstract
A robust correlation estimator based on the spatial sign covariance matrix (SSCM) is proposed. We derive its asymptotic distribution and influence function at elliptical distributions. Finite sample and robustness properties are studied and compared to other robust correlation estimators by means of numerical simulations. [ABSTRACT FROM AUTHOR]
- Published
- 2015
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