The spatial sign covariance matrix with unknown location
arXiv:1307.5706 · doi:10.1016/j.jmva.2014.05.004
Abstract
The consistency and asymptotic normality of the spatial sign covariance matrix with unknown location are shown. Simulations illustrate the different asymptotic behavior when using the mean and the spatial median as location estimator.
14 pages, 3 figures, 2 tables
References in corpus (3)
Cited by in corpus (8)
- Spatial Sign Correlation
- A generalized spatial sign covariance matrix
- Asymptotics of the two-stage spatial sign correlation
- Robust estimation of principal components from depth-based multivariate rank covariance matrix
- On eigenvalues of a high-dimensional spatial-sign covariance matrix
- On Weighted Multivariate Sign Functions
- The spatial sign covariance matrix and its application for robust correlation estimation
- Breakdown points of penalized and hybrid M-estimators of covariance