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

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

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