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Spatial sign correlation.

Authors :
Dürre, Alexander
Vogel, Daniel
Fried, Roland
Source :
Journal of Multivariate Analysis. Mar2015, Vol. 135, p89-105. 17p.
Publication Year :
2015

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]

Subjects

Subjects :
*STATISTICAL correlation
*ROBUST control
*COVARIANCE matrices
*FINITE element method
*ESTIMATION theory
*COMPUTER simulation

Details

Language :
English
ISSN :
0047259X
Volume :
135
Database :
Academic Search Index
Journal :
Journal of Multivariate Analysis
Publication Type :
Academic Journal
Accession number :
100904892
Full Text :
https://doi.org/10.1016/j.jmva.2014.12.002
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