Spatial Sign Correlation
arXiv:1403.7635 · doi:10.1016/j.jmva.2014.12.002
Abstract
A new 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.
20 pages, 7 figures, 2 tables
References in corpus (2)
Cited by in corpus (5)
- The spatial sign covariance matrix with unknown location
- A generalized spatial sign covariance matrix
- Asymptotics of the two-stage spatial sign correlation
- On eigenvalues of a high-dimensional spatial-sign covariance matrix
- The spatial sign covariance matrix and its application for robust correlation estimation