The spatial sign covariance matrix with unknown location

Alexander Dürre, Daniel Vogel*, David E. Tyler

*Corresponding author for this work

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

The consistency and asymptotic normality of the spatial sign covariance matrix with unknown location are shown. Simulations illustrate the different asymptotic behaviors when using the mean and the spatial median as a location estimator.

Original languageEnglish
Pages (from-to)107-117
Number of pages11
JournalJournal of Multivariate Analysis
Volume130
Early online date17 May 2014
DOIs
Publication statusPublished - Sep 2014

Fingerprint

Covariance matrix
Unknown
Asymptotic Normality
Asymptotic Behavior
Estimator
Simulation
Asymptotic normality
Asymptotic behavior
Median

Keywords

  • Elliptical distribution
  • Marcinkiewicz SLLN
  • Spatial median
  • Spatial sign

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Numerical Analysis
  • Statistics and Probability

Cite this

The spatial sign covariance matrix with unknown location. / Dürre, Alexander; Vogel, Daniel; Tyler, David E.

In: Journal of Multivariate Analysis, Vol. 130, 09.2014, p. 107-117.

Research output: Contribution to journalArticle

Dürre, Alexander ; Vogel, Daniel ; Tyler, David E. / The spatial sign covariance matrix with unknown location. In: Journal of Multivariate Analysis. 2014 ; Vol. 130. pp. 107-117.
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