The spatial sign covariance matrix and its application for robust correlation estimation

Alexander Dürre, Roland Fried, Daniel Vogel

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1 Citation (Scopus)
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Abstract

We summarize properties of the spatial sign covariance matrix and especially
consider the relationship between its eigenvalues and those of the shape matrix
of an elliptical distribution. The explicit relationship known in the bivariate
case was used to construct the spatial sign correlation coefficient, which is a
non-parametric and robust estimator for the correlation coefficient within the
elliptical model. We consider a multivariate generalization, which we call the
multivariate spatial sign correlation matrix. A small simulation study indicates
that the new estimator is very efficient under various elliptical distributions if the
dimension is large. We furthermore derive its influence function under certain
conditions which indicates that the multivariate spatial sign correlation becomes
more sensitive to outliers as the dimension increases.
Original languageEnglish
Pages (from-to)13-22
Number of pages10
Journal Austrian Journal of Statistics
Volume46
Issue number3-4 Special Issue
DOIs
Publication statusPublished - Apr 2017

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Keywords

  • Eigenvalues
  • Elliptical distribution
  • Fixed-point algorithm
  • Influence function

ASJC Scopus subject areas

  • Decision Sciences(all)
  • Mathematics(all)

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