Spatial sign correlation

Alexander Dürre (Corresponding Author), Daniel Vogel, Roland Fried

Research output: Contribution to journalArticle

6 Citations (Scopus)
6 Downloads (Pure)

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.
Original languageEnglish
Pages (from-to)89-105
Number of pages17
JournalJournal of Multivariate Analysis
Volume135
Early online date16 Dec 2014
DOIs
Publication statusPublished - Mar 2015

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Covariance matrix
Estimator
Elliptical Distribution
Influence Function
Computer simulation
Asymptotic distribution
Distribution Function
Robustness
Numerical Simulation
Finite sample
Influence function
Elliptical distribution
Numerical simulation
Distribution function

Keywords

  • stat.ME
  • 62H12, 62G05, 62G35
  • elliptical distribution
  • Gaussian rank correlation
  • Gnanadesikan–Kettenring estimator
  • Kendall’s tau
  • spatial median
  • spatial sign covariance matrix
  • Spearman's rho

Cite this

Spatial sign correlation. / Dürre, Alexander (Corresponding Author); Vogel, Daniel; Fried, Roland.

In: Journal of Multivariate Analysis, Vol. 135, 03.2015, p. 89-105.

Research output: Contribution to journalArticle

Dürre, Alexander ; Vogel, Daniel ; Fried, Roland. / Spatial sign correlation. In: Journal of Multivariate Analysis. 2015 ; Vol. 135. pp. 89-105.
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