most citedThe asymptotic inadmissibility of the spatial sign covariance matrix for elliptically symmetric distributions

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stat.ME2013★ 1 cited

The asymptotic inadmissibility of the spatial sign covariance matrix for elliptically symmetric distributions

Andrew F. Magyar, David E. Tyler

The asymptotic efficiency of the spatial sign covariance matrix (SSCM) relative to affine equivariant estimates of scatter is studied in detail. In particular, the SSCM is shown to…